Nicolas Chopin , ENSAE, Institut Polytechnique de Paris, France
Jan Martin Nicolaus
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.