Technische Universit├Ąt Ilmenau

Numerics for Stochastical Systems - Modultafeln of TU Ilmenau

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module properties Numerics for Stochastical Systems in degree program Master Mathematik und Wirtschaftsmathematik 2013 (WM)
module number5815
examination number2400196
departmentDepartment of Mathematics and Natural Sciences
ID of group 2413 (Numerical Analysis and Information Processing)
module leaderProf. Dr. Hans Babovsky
term summer term only
credit points4
on-campus program (h)34
self-study (h)86
obligationelective module
examoral examination performance, 30 minutes
details of the certificate
signup details for alternative examinations
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
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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