Inhalt der Veranstaltung:
The lecture will cover the following topics (not exhaustive)

• Brownian motion and Ito calculus
• Numerical discretization of stochastic differential equations
• Monte Carlo methods for partial differential equations
• Modelling with stochastic differential equations
• Applications from physics, chemistry and finance

URL für die Veranstaltungswebsite:
http://numerik.mi.fu-berlin.de/wiki/WS_2015/Vorlesungen/NumerikSDE.php

Zielgruppe: Students who are interested in stochastics and numerics

Voraussetzungen: Stochastik I + II, Numerik I + II

Literatur:

1. L. Arnold. Stochastische Differentialgleichungen: Theorie und Anwendung. John Wiley & Sons, 1973.
2. L.C. Evans. An Introduction to Stochastic Differential Equations. AMS, Providence. 2014.
3. B. Lapeyre, E. Pardoux, and R. Sentis, Introduction to Monte-Carlo Methods for Transport and Diffusion Equations, Oxford University Press, 2003.
4. B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, 2003
5. E. Kloeden and E. Platen. The Numerical Solution of Stochastic Differential Equations. Springer, Berlin, 1992