Course catalog

19222601 Lecture

Numerical methods for stochastic differential equations

Ana Djurdjevac

Additional information / Pre-requisites

Zielgruppe: Students who are interested in stochastics and numerics
Voraussetzungen: Stochastik I + II, Numerik I + II

Comments

Inhalt der Veranstaltung:
The lecture will cover the following topics (not exhaustive)

  • Brownian motion 
  • Numerical discretization of stochastic differential equations
  • Monte Carlo methods
  • Representations of random fields
  • Modelling with stochastic differential equations
  • Applications
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Suggested reading

Literatur:

  1. D. Higham, D. and  Kloeden, P.  An introduction to the numerical simulation of stochastic differential equations. SIAM, 2021
  2. E. Kloeden, E. Platen and H. Schurz. Numerical Solution of SDEs through computer experiments. Springer, Berlin, 2002
  3. B. Lapeyre, E. Pardoux, and R. Sentis, Introduction to Monte-Carlo Methods for Transport and Diffusion Equations, Oxford University Press, 2003.
  4. B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, 2003
  5. Lord, G. J., Powell, C. E., and Shardlow, T. An introduction to computational stochastic PDEs (Vol. 50). Cambridge University Press, 2014
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11 Class schedule

Additional appointments

Fri, 2025-05-09 13:00 - 18:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Regular appointments

Thu, 10:00 - 12:00 Numerik stochastischer Differentialgleichungen 11 Class schedule
Thu, 2025-04-17 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-04-24 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-05-15 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-05-22 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-06-05 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-06-12 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-06-19 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-06-26 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-07-03 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-07-10 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

Thu, 2025-07-17 10:00 - 12:00
Numerik stochastischer Differentialgleichungen

Lecturers:
Prof. Dr. Ana Djurdjevac

Location:
A6/SR 009 Seminarraum (Arnimallee 6)

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Location: A6/SR 009 Seminarraum (Arnimallee 6)

Schedule: Do 10:00-12:00, zusätzliche Termine siehe LV-Details

Class starts on: 2025-04-17

Course language: English

Contact hours: 2

Limited attendance: No

Attendance required: No

Relevant semester: 0

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