19222601
Vorlesung
WiSe 15/16: Numerik stochastischer Differentialgleichungen
Carsten Hartmann
Kommentar
Inhalt der Veranstaltung:
The lecture will cover the following topics (not exhaustive)
- Brownian motion and Ito calculus
- Numerical discretization of stochastic differential equations
- Monte Carlo methods for partial differential equations
- Modelling with stochastic differential equations
- Applications from physics, chemistry and finance
URL für die Veranstaltungswebsite:
http://numerik.mi.fu-berlin.de/wiki/WS_2015/NumerikSDE.php
Zielgruppe: Students who are interested in stochastics and numerics
Voraussetzungen: Stochastik I + II, Numerik I + II
Literatur:
- L. Arnold. Stochastische Differentialgleichungen: Theorie und Anwendung. John Wiley & Sons, 1973.
- L.C. Evans. An Introduction to Stochastic Differential Equations. AMS, Providence. 2014.
- B. Lapeyre, E. Pardoux, and R. Sentis, Introduction to Monte-Carlo Methods for Transport and Diffusion Equations, Oxford University Press, 2003.
- B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, 2003
- E. Kloeden and E. Platen. The Numerical Solution of Stochastic Differential Equations. Springer, Berlin, 1992
16 Termine
Regelmäßige Termine der Lehrveranstaltung
Di, 13.10.2015 10:00 - 12:00
Di, 20.10.2015 10:00 - 12:00
Di, 27.10.2015 10:00 - 12:00
Di, 03.11.2015 10:00 - 12:00
Di, 10.11.2015 10:00 - 12:00
Di, 17.11.2015 10:00 - 12:00
Di, 24.11.2015 10:00 - 12:00
Di, 01.12.2015 10:00 - 12:00
Di, 08.12.2015 10:00 - 12:00
Di, 15.12.2015 10:00 - 12:00
Di, 05.01.2016 10:00 - 12:00
Di, 12.01.2016 10:00 - 12:00
Di, 19.01.2016 10:00 - 12:00
Di, 26.01.2016 10:00 - 12:00
Di, 02.02.2016 10:00 - 12:00
Di, 09.02.2016 10:00 - 12:00