Postgraduate Course: Numerical Methods for Stochastic Differential Equations (MATH11156)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||A rigorous course into the theory of numerical approximations for stochastic differential equations.
Preliminaries: Burkholder-Davis-Gundy inequality and Gronwall' s lemma. Strong and weak approximations of solutions to SDEs.
Euler's approximations and Milstein's scheme.
Order of accuracy of numerical approximations.
Higher order schemes, accelerated convergence.
Weak approximations of SDEs via numerical solutions of PDEs.
Entry Requirements (not applicable to Visiting Students)
|Prohibited Combinations|| Students MUST NOT also be taking
||Other requirements|| Students must have taken Stochastic Analysis in Finance (MATH11154)
Course Delivery Information
|Academic year 2017/18, Not available to visiting students (SS1)
||Block 4 (Sem 2)
|Learning and Teaching activities (Further Info)
Lecture Hours 11,
Supervised Practical/Workshop/Studio Hours 2,
Programme Level Learning and Teaching Hours 1,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Numerical Methods for Stochastic Differential Equations (MATH11156) ||1:00|
| - Demonstrate familiarity with numerical schemes for simulating solutions of SDEs by answering relevant exam questions.
- Demonstrate conceptual understanding of the estimation of the rate of convergence of the Euler and Milstein schemes by answering relevant exam questions.
- Demonstrate conceptual understanding of the differences between weak and strong approximations by answering relevant exam questions.
|Numerical Solution of Stochastic Differential Equations|
by Peter E. Kloeden and Eckhard Platen, 1999, Springer.
|Graduate Attributes and Skills
|Course organiser||Dr Lukasz Szpruch
Tel: (0131 6)50 5742
|Course secretary||Ms Hannah Burley
Tel: (0131 6)50 4885