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 live development of content on a tablet
Inhalt/e
Theoretical basis:Martingales in continuous timeStochastic integralsItô's formulaStochastic differential equations:Strong and weak solutionsExistence and uniqueness of solutionsExplicit solutionsNumerical methods
Erwartete Vorkenntnisse
Stochastics 2Stochastic processes
Literatur
Bernt Oksendal: Stochastic Differential Equations, Springer, 2010.