312.238 (20W) Stochastic Differential Equations
Overview
For further information regarding teaching on campus, please visit: https://www.aau.at/en/corona.
- Lecturer
- Course title german Stochastic Differential Equations
- Type Lecture
- Course model Attendance-based course
- Hours per Week 2.0
- ECTS credits 4.0
- Registrations 7
- Organisational unit
- Language of instruction English
- Course begins on 13.10.2020
- eLearning Go to Moodle course
Time and place
Course Information
Intended learning outcomes
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)
Teaching methodology
Lecture with practical examples
Combination of slides and tablet
Course content
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
Prior knowledge expected
Stochastics 2
Stochastic processes
Literature
Bernt Oksendal: Stochastic Differential Equations, Springer, 2010.
Examination information
Modified examination information (exceptional COVID-19 provisions)
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.
Examination methodology
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
Examination topic(s)
Everything that is covered in the lecture.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Assessment criteria / Standards of assessment for examinations
The mark depends only on the number of points the student achieves at the final exam.
Grading scheme
Grade / Grade grading schemePosition in the curriculum
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Subject: Applied Statistics
(Compulsory elective)
-
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)
-
Subject: Applied Statistics
(Compulsory elective)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Subject: Applied Mathematics
(Compulsory elective)
-
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)
-
Subject: Applied Mathematics
(Compulsory elective)
Equivalent courses for counting the examination attempts
-
Wintersemester 2023/24
- 312.238 VO Stochastic Differential Equations (2.0h / 4.0ECTS)