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
Suggested reading
Literatur:
- D. Higham, D. and Kloeden, P. An introduction to the numerical simulation of stochastic differential equations. SIAM, 2021
- E. Kloeden, E. Platen and H. Schurz. Numerical Solution of SDEs through computer experiments. Springer, Berlin, 2002
- 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
- Lord, G. J., Powell, C. E., and Shardlow, T. An introduction to computational stochastic PDEs (Vol. 50). Cambridge University Press, 2014
11 Class schedule
Additional appointments
Fri, 2025-05-09 13:00 - 18:00Numerik stochastischer Differentialgleichungen
Regular appointments
Thu, 2025-04-17 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-04-24 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-05-15 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-05-22 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-06-05 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-06-12 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-06-19 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-06-26 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-07-03 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-07-10 10:00 - 12:00
Numerik stochastischer Differentialgleichungen
Thu, 2025-07-17 10:00 - 12:00
Numerik stochastischer Differentialgleichungen