Numerics of stochastic differential equations


The project presentations will take place in the weeks from 8th - 12th and 15th - 19th February 2016.


Exercise #1

Exercise #2

Exercise #3

Exercise #4

Exercise #5


Carsten Hartmann room 136, Arnimallee 6
Lara Neureither room 009, Arnimallee 9

Lecture notes

Numerics IVc


[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