Undergraduate Course: Applied Stochastic Differential Equations (MATH10053)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Credit level (Normal year taken) | SCQF Level 10 (Year 4 Undergraduate) |
Availability | Available to all students |
| SCQF Credits | 10 |
ECTS Credits | 5 |
| Summary | 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. |
| Course description |
Not entered
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Information for Visiting Students
| Pre-requisites | None |
Course Delivery Information
| Not being delivered |
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.
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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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