Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-64-14-K-7

Numerics of Stochastic Processes (2V+1U, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
- K Lecture with exercise classes (V/U) 4.5 CP 93 h
2 V Lecture 28 h
1 U Exercise class (in small groups) 14 h
(2V+1U) 4.5 CP 42 h 93 h

Basedata

SWS 2V+1U
CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-SPAS] Analysis and Stochastics
Livecycle-State [NORM] Active

Contents

Stochastic processes with a multidimensional continuous parameter space, which are called random fields, are used to model random spatial (and temporal) phenomena. Topics of the course are:
  • classical examples of random fields: Brownian sheet and Lévy's Brownian motion,
  • Hilbert spaces with reproducing kernel,
  • isotropy and stationarity of random fields,
  • regularity and approximation of random fields, series representations,
  • sparse grids and Smolyak's algorithm.

Literature

  • K. Ritter: Average Case Analysis of Numerical Problems.

Materials

Further literature will be announced in the lecture; Exercise material is provided.

References to Course [MAT-64-14-K-7]

Module Name Context
[MAT-64-14-M-7] Numerics of Stochastic Processes P: Obligatory 2V+1U, 4.5 LP