19222601
Lecture
WiSe 15/16: Numerik stochastischer Differentialgleichungen
Carsten Hartmann
Comments
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 Class schedule
Regular appointments
Tue, 2015-10-13 10:00 - 12:00
Tue, 2015-10-20 10:00 - 12:00
Tue, 2015-10-27 10:00 - 12:00
Tue, 2015-11-03 10:00 - 12:00
Tue, 2015-11-10 10:00 - 12:00
Tue, 2015-11-17 10:00 - 12:00
Tue, 2015-11-24 10:00 - 12:00
Tue, 2015-12-01 10:00 - 12:00
Tue, 2015-12-08 10:00 - 12:00
Tue, 2015-12-15 10:00 - 12:00
Tue, 2016-01-05 10:00 - 12:00
Tue, 2016-01-12 10:00 - 12:00
Tue, 2016-01-19 10:00 - 12:00
Tue, 2016-01-26 10:00 - 12:00
Tue, 2016-02-02 10:00 - 12:00
Tue, 2016-02-09 10:00 - 12:00