| Code |
Course Name |
Language |
Type |
| MAT 425E |
Stochastic ODE |
English |
Elective |
| Local Credits |
ECTS |
Theoretical |
Tutorial |
Laboratory |
| 3 |
6 |
3 |
0 |
0 |
| Course Prerequisites and Class Restriction |
| Prerequisites |
MAT 232 MIN DD
or MAT 232E MIN DD
|
| Class Restriction |
None |
| Course Description |
| Probability space and axioms, random variables, central limit theorem, stochastic processes, Wiener processes (Brownian
motion), Ito integrals, ito derivative theorem, existence and uniqueness theorem, weak and strong solutions, solution methods
(integrating factor, variation of parameters, first integrals, transformations, etc.) of linear and nonlinear stochastic ordinary
differential equations, numerical methods, Feynman-Kac theorem, Girsanov theorem, Fokker-Planck equation and Pawula
theorem, Filter problem. |
|
