Logo

Stochastic Differential Equations: Models and Numerics

Small book cover: Stochastic Differential Equations: Models and Numerics

Stochastic Differential Equations: Models and Numerics
by

Publisher: KTH
Number of pages: 202

Description:
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and mathematical finance. Typically, these problems require numerical methods to obtain a solution and therefore the course focuses on basic understanding of stochastic and partial differential equations to construct reliable and efficient computational methods.

Download or read it online for free here:
Download link
(2.3MB, PDF)

Similar books

Book cover: Lectures on Stochastic ProcessesLectures on Stochastic Processes
by - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
(12475 views)
Book cover: Lectures on Stochastic Differential Equations and Malliavin CalculusLectures on Stochastic Differential Equations and Malliavin Calculus
by - Tata Institute of Fundamental Research
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
(10172 views)
Book cover: Lectures on Singular Stochastic PDEsLectures on Singular Stochastic PDEs
by - arXiv
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(6618 views)
Book cover: Lectures on Topics in Stochastic Differential EquationsLectures on Topics in Stochastic Differential Equations
by - Tata Institute of Fundamental Research
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
(9955 views)