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Lecture and Exercises: Stochastic Partial Differential Equations (WS 2016/17)

Lecturer: JProf. Dr. Philipp Harms

Exercises: Dr. Tolulope Rhoda Fadina

Lecture: Thursdays 12-14 in SR 404, Eckerstr. 1

Exercises: Wednesdays 17-19 in SR 218, Eckerstr. 1

Intended Audience: MSc and PhD students with the required prerequisites

Language: English

Content

This lecture is an introduction in semilinear partial stochastic differential equations (SPDEs) and methods of numerical approximation. As applications we will study interest rate and limit order book models, among others. 

Prerequisites

  • Stochastic calculus
  • Functional analysis
  • Coding in R, MATLAB, or your favorite programming language

Literature

Lecture Notes

Lecture notes (unfinished, 10 February 2017)

Exercises

Solving 60% of the exercises and being able to present the solution at the blackboard is required for a grade or certificate of participation. 

 

Exercise  Due Date 
Exercise 1 October 26, 2016
Exercise 2 November 2, 2016 
Exercise 3 November 9, 2016
Exercise 4 November 16, 2016 
Exercise 5 November 24, 2016 
Exercise 6 - Joint work on student projects  November 30, 2016 
Exercise 7 - Joint work on student projects December 7, 2016 
Exercise 8 December 14, 2016 
Exercise 9 - Joint work on student projects December 22, 2016 
Exercise 10 - Joint work on student projects  January 11, 2017 
Exercise 11  January 25, 2017 
Exercise 12 - Joint work on student projects February 1, 2017 
Exercise 13 - Presentation of student projects February 8, 2017 

Announcements

  • The first lecture is on October 20, and the first exercise class on October 26. 
  • Part of the exercise classes will be devoted to joint work on student projects on advanced topics.
  • The exercise class on November 23 will be held in condensed form during the class on November 24. 
  • The exercise classes will be held at 4pm instead of 5pm from December 14.
  • The lecture and exercise class of January 18-19 are shifted to the subsequent week. 
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