30.08.2022, 10:15
– Campus Golm, Building 25, Room F0.01
Kálmán Lecture
5th Kálmán Lecture with Nicolas Chopin
Nicolas Chopin , ENSAE, Institut Polytechnique de Paris, France
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.