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Graduates of this module understand the contents of the course and can apply them and use them. Moreover they have acquired a deepened understanding of the field of stochastic differential equations and numerical methods to solve them. They are able to analyze and solve typical problems of that domain independently.

The course offers an introduction to stochastic integration, stochastic differential equations, and numerical methods to solve them. Topics include: Brownian motion, stochastic integration, stochastic differential equations, Euler-Maruyama scheme, strong and weak convergence, stability of numerical methods for stochastic differential equations.

Lectures, homework, presentations on the blackboard or submission of a written report, single examination at the end of the course.

Lehrveranstaltungsprüfung gemäß § 7 Satzungsteil, Studienrechtliche Bestimmungen

Wird im Rahmen der ersten Lehrveranstaltung besprochen.

Basic courses in Stochastic. Basic course in Numerical Analysis and some knowledge of Matlab.

The first part of the course is given by Tijana Levajkovic, the second by David Cohen.

Language of instruction: English (German in the second half of the course if desired)