Technische Universit├Ąt Ilmenau

Numerics for Stochastical Systems - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers. Please also pay attention to this legal advice (german only). Information on place and time of the actual lectures is served in the Vorlesungsverzeichnis.

subject properties Numerics for Stochastical Systems in major Master Mathematik und Wirtschaftsmathematik 2013 (WM)
subject number5815
examination number2400196
departmentDepartment of Mathematics and Natural Sciences
ID of group 2413 (Group for Numerical Analysis and Information Processing)
subject leaderProf. Dr. Hans Babovsky
term Sommersemester
languageDeutsch
credit points4
on-campus program (h)34
self-study (h)86
Obligationobligatory elective
examoral examination performance, 30 minutes
details of the certificate
maximum number of participants
previous knowledge and experienceGrundlagen der Wahrscheinlichkeitstheorie, Funktionalanalysis, Numerik von Differentialgleichungen
learning outcomeGrundlagen der stochastischen Modellierung technischer Systeme;
Stochastische Verfahren zur numerischen Simulation technischer Systeme
contentErzeugung von Pseudo-Zufallszahlen
Stochastische Integration
Numerische Simulation von Wiener-Prozessen Ito-Integrale
Numerische Simulation stochastischer
Differentialgleichungen
media of instructionTafel, Folien, Skript
literature / referencesP. Kloeden, E. Platen, H. Schurz: Numerical solution of SDE through computer experiments, Springer, 1997
M. Rubenstein: Simulation and the Monte Carlo Method, Wiley-Interscience, 1981
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