Numerics of stochastic differential equations
News
The project presentations will take place in the weeks from 8th - 12th and 15th - 19th February 2016.
Homework
Contact
| Carsten Hartmann | chartman@mi.fu-berlin.de | room 136, Arnimallee 6 |
| Lara Neureither | lneureither@zedat.fu-berlin.de | room 009, Arnimallee 9 |
Lecture notes
References
[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