312.238 (20W) Stochastic Differential Equations
Überblick
Weitere Informationen zum Lehrbetrieb vor Ort finden Sie unter: https://www.aau.at/corona.
- Lehrende/r
- LV-Titel englisch Stochastic Differential Equations
- LV-Art Vorlesung
- LV-Modell Präsenzlehrveranstaltung
- Semesterstunde/n 2.0
- ECTS-Anrechnungspunkte 4.0
- Anmeldungen 7
- Organisationseinheit
- Unterrichtssprache Englisch
- LV-Beginn 13.10.2020
- eLearning zum Moodle-Kurs
Zeit und Ort
LV-Beschreibung
Intendierte Lernergebnisse
Understanding the theoretical basis needed for the construction of stochastic integrals and for the study of stochastic differential equations (martingales in continuous time, stochastic integrals, Itô's formula)
Knowledge on stochastic differential equations (strong and weak solutions, existence and uniqueness of solutions)
Ability to solve a given stochastic differential equation (explicit solutions, numerical methods)
Lehrmethodik
Lecture with practical examples
Combination of slides and tablet
Inhalt/e
Theoretical basis:
Martingales in continuous time
Stochastic integrals
Itô's formula
Stochastic differential equations:
Strong and weak solutions
Existence and uniqueness of solutions
Explicit solutions
Numerical methods
Erwartete Vorkenntnisse
Stochastics 2
Stochastic processes
Literatur
Bernt Oksendal: Stochastic Differential Equations, Springer, 2010.
Prüfungsinformationen
Geänderte Prüfungsinformationen (COVID-19 Ausnahmeregelung)
The final exam (which is announced as an oral exam) can be taken via BBB. For this, the possibility to write in front of the camera is required. The examiner must be able to watch the student as well as what is written at the same time.
Prüfungsmethode/n
There will be a final exam, presumably at the end of January.
The point scheme is as follows:
100-87 p. -> 1
86-75 p. -> 2
74-62 p. -> 3
61-50 p. -> 4
49-0 p. -> 5
Prüfungsinhalt/e
Everything that is covered in the lecture.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Beurteilungskriterien/-maßstäbe
The mark depends only on the number of points the student achieves at the final exam.
Beurteilungsschema
Note BenotungsschemaPosition im Curriculum
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Statistics
(Wahlfach)
-
5.6 Stochastic Differential Equations (
2.0h VO / 4.0 ECTS)
- 312.238 Stochastic Differential Equations (2.0h VO / 4.0 ECTS)
-
5.6 Stochastic Differential Equations (
2.0h VO / 4.0 ECTS)
-
Fach: Applied Statistics
(Wahlfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Mathematics
(Wahlfach)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
- 312.238 Stochastic Differential Equations (2.0h VO / 4.0 ECTS)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
-
Fach: Applied Mathematics
(Wahlfach)
Gleichwertige Lehrveranstaltungen im Sinne der Prüfungsantrittszählung
-
Wintersemester 2023/24
- 312.238 VO Stochastic Differential Equations (2.0h / 4.0ECTS)