Applied Stochastic Differential Equations (U04362)

? Credit Points : 10 ? SCQF Level : 10 ? Acronym : MAT-4-ASDE

Stochastic methods, stochastic differential equations (SDEs) in particular, are used extensively in finance, industry and in sciences. Reflecting this, this course provides an introduction to stochastic differential equations emphasising applications and computations over more formal aspects. It considers strategies for exact, approximate, and numerical solutions of SDEs, and emphasises the relationship with partial differential equations.

Entry Requirements

? Pre-requisites : MAT-3-PAA, MAT-3-CVD

Subject Areas

Home subject area

Specialist Mathematics & Statistics (Honours), (School of Mathematics, Schedule P)

Other subject areas

Specialist Mathematics & Statistics (Applied), (School of Mathematics, Schedule P)

Delivery Information

? Normal year taken : 4th year

? Delivery Period : Semester 1 (Blocks 1-2)

? Contact Teaching Time : 2 hour(s) per week for 11 weeks

First Class Information

Date	Start	End	Room	Area	Additional Information
22/09/2008	09:00	09:50	Lecture Room 3218, JCMB	KB

All of the following classes

Type	Day	Start	End	Area
Lecture	Monday	09:00	09:50	KB
Lecture	Thursday	09:00	09:50	KB

Summary of Intended Learning Outcomes

1. Understanding the concepts of Brownian motion and white noise.
2. Ability to manipulate and solve simple SDEs.
3. Understanding the relationship between SDEs and parabolic PDEs.
4. Understanding of basic numerical methods for SDEs.