Course catalog

19207611

WiSe 24/25: Specialseminar in Numeric/Stochastic

Ana Djurdjevac

Comments

Content:

This seminar is at the interface of stochastic differential equations and numerical analysis. The seminar will be held as a block course. In the first four weeks there will be four lectures explaining basics of the topics specified bellow. At the beginning of the semester, students will be given papers with particular methods related to those topics that they should work on and implement by the end of the semester. In the last weeks of the semester, students will give presentations in which the project results will be presented and they will also submit short report about their topic.

The seminar will cover a selection from the following topics:

Full discretization of parabolic PDEs
Numerical methods for SDEs, such as Euler-Maruyama Method, Milstein Method, exponential integrators
Weak and strong convergence
Galerkin methods for semilinear stochastic PDEs
Monte-Carlo and Multilevel Monte-Carlo sampling methods

Target audience:

M.Sc. Mathematik/Physik, BMS course

Requirements:

Stochastic I and Numerics II. Basic knowledge from measure theory, functional analysis and numerical analysis.

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16 Class schedule

Regular appointments

Wed, 16:00 - 18:00 Spezialseminar in Numerik/Stochastik 16 Class schedule

Wed, 2024-10-16 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-10-23 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-10-30 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-11-06 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-11-13 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-11-20 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-11-27 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-12-04 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-12-11 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2024-12-18 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-01-08 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-01-15 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-01-22 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-01-29 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-02-05 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Wed, 2025-02-12 16:00 - 18:00

Spezialseminar in Numerik/Stochastik

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 025/026 Seminarraum (Arnimallee 6)

Back to list of modules

Location: A6/SR 025/026 Seminarraum (Arnimallee 6)

Schedule: Mi 16:00-18:00

Class starts on: 2024-10-16

Course language: English

Contact hours: 2

Number of participants: 15

Limited attendance: Yes

Attendance required: No

Modules where this course belongs

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