Introduction to Stochastic Differential
Equations
MATH 6490-1, Spring 2007
Web page has been last updated on
May 16, 2007
This is the official web page for MATH 6490-01. Please consult this page
regularly to see all lecture notes, reading assignments, and homeworks in a
much clearer format than whatever I scrawl during lecture. Check the "last
updated" date above to see whether the new information pertaining to the last
class has been entered.
The development of this course was partially supported by NSF CAREER grant
DMS-0449717. Any opinions, findings, and conclusions or recommendations
expressed in this material are those of the author and do not necessarily
reflect the views of the National Science Foundation.
Announcements
Instructor
- Peter R. Kramer (office: Amos Eaton 310, office hrs: Wednesdays and
Fridays 4-5 PM, phone: 276-6896, email: kramep@rpi.edu)
Handouts and Documents (PDF)
Lecture Notes (PDF)
- January
16, 2007
- January
18, 2007
- January
23, 2007
- January
26, 2007
- January
30, 2007
- February
2, 2007
- February
6, 2007
- February
9, 2007
- February
13, 2007
- February
16, 2007
- February
23, 2007
- February
27, 2007
- March
2, 2007
- March
13, 2007
- March
16, 2007
- March
20, 2007
- March
23, 2007
- March
27, 2007
- March
30, 2007
- April
6, 2007
- April
10, 2007
- April
13, 2007
- April
20, 2007
- April
24, 2007
- May
1, 2007
- May
4, 2007
- May
11, 2007
MATLAB code for numerical simulations
- em.m Function which simulates a stochastic
differential equation (SDE) with the Euler-Marayama method. To simulate
the SDE with the Milstein method, one can simply change the numerical
update rule in this code.
- emstrong.m Program which investigates
the strong order of accuracy of the Euler-Marayama method
- emweak.m Program which investigates the
weak order of accuracy of the Euler-Marayama method
- milstrong.m Program which investigates
the strong order of accuracy of the Milstein method
Homework (PDF)