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--- courses:fam:kainhofer_nummeth_sde [2007/05/18 15:47] – reinhold
+++ courses:fam:kainhofer_nummeth_sde [2007/06/09 13:53] (current) – reinhold
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+====== AKVFM Numerische Verfahren für stochastische Prozesse und Differentialgleichungen ======
+  * University: [[http://www.fam.tuwien.ac.at/|FAM]], [[http://www.tuwien.ac.at|Vienna University of Technology]]
+  * Lecturer: [[http://reinhold.kainhofer.com|Reinhold Kainhofer]]
+  * Term: Spring Semester 2007
+  * Credits: 3 hours per week
+General information about the course, topics, times and modalities can be found in  [[http://tuwis.tuwien.ac.at/lva/105106/2007S|TUWIS of the TU Wien]] (the course management system of the Vienna University of Technology)
+===== Exercise Sheets and Further Material =====
+  * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele1.pdf|Exercise sheet 1}} (until April 16), {{:courses:fam:kainhofer_nummeth_sde:aufgabenzuteilung_studenten.pdf|Student assignment}}
+  * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_existence_uniqueness_proof.pdf|Proof of the strong existence and uniqueness theorem for SDEs}}
+  * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele2.pdf|Exercise sheet 2}} (until June 4)
+    * Each student can select one of the exercises 10 to 17 (10 and 17 belong together!)
+    * All students also have to solve Exercises 18 to 22
+  * {{courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele3.pdf|Exercise sheet 3}} (until June 25((If someone manages to do the exercise until June 19, that would be even better, as we have more time then!))).
+===== Literature =====
+**Levý-Processes**
+  * Rama Cont, Peter Tankov. //Financial Modelling with Jump Processes//, Chapman & Hall/CRC Press, Financial Mathematics Series, Vol. 2, 2003.
+  *  Paul Glasserman. //Monte Carlo Methods in Financial Engineering//, volume 53 of Applications of Mathematics. Springer-Verlag, 2004.
+**Stochastic Analysis and SDEs**
+  * Thomas Mikosch. //Elementary Stochastic Calculus with Finance in View//, volume 6 of Advanced Series on Statistical Science & Applied Probability. World Scientific, 1998.
+  * Bernt Øksendal. //Stochastic Differential Equations// - An Introduction with Applications. Springer, 1998.
+**Numerical Methods for SDEs**
+  * Peter Kloeden, Eckhard Platen. //Numerical Solution of Stochastic Differential Equations//, volume 23 of Applications of Mathematics. Springer-Verlag, 1995.
+  * Grigory Milstein, Michael Tretyakov. //Stochastic Numerics for Mathematical Physics//, Springer-Verlag, 2004.