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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 processes continuous in time, stochastic integration and stochastic differential equations. Topics include: Gaussian processes, Brownian motion, martingale theory, stochastic integration, Itô calculus and stochastic differential equations.

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

Course examination according to § 7, statute section on "study-law regulations"

Will be discussed in the first lesson.

Basic courses in Stochastic. 

Language of instruction: English