MSDEA Mini-course on Stochastic Differential Equations and Applications

Faculty of Science
Autumn 2008
Extent and Intensity
2/0. 2 credit(s). Type of Completion: z (credit).
Teacher(s)
Carlos Braumann (lecturer), prof. RNDr. Ivanka Horová, CSc. (deputy)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
In order to model dynamical phenomena occurring in an environment subjected to random fluctuations, stochastic differential equations have been used very successfully in many areas of Science and Technology. The course gives an introduction to stochastic differential equations and emphasizes: a) some biological applications, particularly to the growth of populations or of individuals living in a randomly varying environment and to fishery modelling; b) financial applications (stock market and options, with the classic Black-Scholes model and Black-Scholes formula explained).
Syllabus
  • In order to model dynamical phenomena occurring in an environment subjected to random fluctuations, stochastic differential equations have been used very successfully in many areas of Science and Technology. The course gives an introduction to stochastic differential equations and emphasizes: a) some biological applications, particularly to the growth of populations or of individuals living in a randomly varying environment and to fishery modelling; b) financial applications (stock market and options, with the classic Black-Scholes model and Black-Scholes formula explained).
Language of instruction
English
Further Comments
The course is taught only once.
The course is taught: in blocks.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2008/MSDEA