Stochastic differential equations - application, simulation and parameter estimation

29.06.2022, 4:00 pm  –  Golm, Haus 9, Raum 0.17
SIAM Chapter Seminar

Jan Martin Nicolaus

Abstract:

Differential equations are ubiquitous throughout most topics of applied mathematics, physics and engineering.

The study of stochastic differential equations (SDEs) enables the modeling and thorough investigation of non-deterministic systems such as option pricing, surface growth by vapor deposition or the evolution of some population influenced by random effects.

This talk will provide a brief application-oriented survey of SDEs. After a short theoretical introduction a simulation method is introduced. Based on this framework two methods for parameter estimation are presented. The talk is concluded by a comparison between both methods.

Details are announced via mailing list "SIAM-chapter-list", or ask Franziska or Florian.