DE

Modul

Stochastic Differential Equations [M-MATH-102881]

Credits

8

Recurrence

Unregelmäßig

Duration

1 Semester

Language

Level

5

Version

1

Responsible

Prof. Dr. Dorothee Frey

Organisation

KIT-Fakultät für Mathematik

Part of

Economathematics (M.Sc.)

Bricks

Identifier	Name	LP
T-MATH-105852	Stochastic Differential Equations	8

Content

Brownian motion
Martingales and Martingal inequalities
Stochastic integrals and Ito's formula
Existence and uniqueness of solutions for systems of stochastic differential equations
Perturbation and stability results
Application to equations in financial mathematics, physics and engineering
Connection with diffusion equations and potential theory