Undergraduate Course: Applied Stochastic Differential Equations (MATH10053)
Course Outline
| School |
School of Mathematics |
College |
College of Science and Engineering |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 10 (Year 4 Undergraduate) |
Credits |
10 |
| Home subject area |
Mathematics |
Other subject area |
Specialist Mathematics & Statistics (Honours) |
| Course website |
http://student.maths.ed.ac.uk/
|
Taught in Gaelic? |
No |
| Course description |
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. |
Information for Visiting Students
| Pre-requisites |
None |
| Displayed in Visiting Students Prospectus? |
Yes |
Course Delivery Information
| Not being delivered |
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. |
Assessment Information
15% continuous assessment
85% examination |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords |
ASDE |
Contacts
| Course organiser |
Dr Liam O'Carroll
Tel: (0131 6)50 5070
Email: L.O'Carroll@ed.ac.uk |
Course secretary |
Mrs Gillian Law
Tel: (0131 6)50 5085
Email: G.Law@ed.ac.uk |
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