MATH5361 Stochastic Differential Equations: Theory, Applications, and Numerical Methods

MATH5361 is a Honours and Postgraduate Coursework Mathematics course. See the course overview below.

Units of credit: 6

Cycle of offering: Term 1 in Trimester.

Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.

More information: Course handout will be given near the start of Term 1 2019.

If you are currently enrolled in MATH5361, you can log into UNSW Moodle for this course.

Course Overview

Stochastic differential equation models play a prominent role in a range of application areas, including biology, chemistry, epidemiology, mechanics, microelectronics, economics, and finance. This course studies the theory and applications of stochastic differential equations, the design and implementation on computers of numerical methods for solving these practical mathematical equations. The course will start with a background knowledge of random variables, Brownian motion, Ornstein-Uhlenbeck process. Other topics studied include: stochastic integrals, the Euler-Maruyama method, Milstein's higher order method, stability and convergence.