Registration for oral examinations
these are the days for the oral examination offered by Mr. Ritter:
- 15. September 2021
- 20. October 2021.
Please contact Mrs. Höffler via Email (hoeffler(at)mathematik.uni-kl.de )to schedule an appointment and indicate your
- matriculation number,
- department/course of studies (if not mathematics),
- examination subject,
- preferred day of examination.
Mrs. Höffler enters your dates into the examination administration system and sends you the examination agreement via E-Mail. Please sign it and send it back via E-mail to Mrs. Höffler.
A specialization in Computational Stochastics is based on a number of core courses, primarily from Analysis and Stochastics, which are outlined below. Prospective Bachelor students may also want to look at an elementary introduction (in German) to Computational Stochastics.
Lectures offered in winter term 2021/2022
The following lectures are offered by our working group in winter term 2021/2022.
- discrepancy of point sets and quasi-Monte Carlo methods
- lattice rules
- sparse grids and Smolyak formulas
- anisotropic Korobov and Sobolev spaces on finite- and infinite-dimensional domains
- lower error bounds and complexity of continuous problems
- the probabilistic method
- Types of convergence
- Characteristic functions
- Markov kernels
- Sums of independent random variables
- Strong laws of large numbers, variants of the central limit theorem
- Conditional expectation
- Martingales in discrete time
- Brownian motion
Lectures offered in winter term 2020/2021
The following lectures were offered during winter term 2020/2021 by our working group:
Introduction to Functional Analysis (in German)
Stochastic Differential Equations
Lectures offered in summer term 2020
The following lectures were offered during summer term 2020 by our working group:
Fundamentals of Mathematics II
Tuesday, 15:30 - 17:05
Thursday, 15:30 - 17:00
Lectures offered in winter term 2019/20
The following lectures were offered during winter term 2019 /20 by our working group:
Fundamentals of Mathematics I
High-dimensional Integration (Seminar)
We study the following two papers:
Mendelson, Pajor: On singular values of matrices with independent rows (2006)
Krieg, Ullrich: On L_2-approximation in Hilbert spaces using function values (2019)
Tuesday, 13:45 - 15:15
Lectures offered in summer term
The following lectures were offered during summer term 2019 by our working group:
Algorithms and complexities of high- and infinite-dimensional integration problems. We study, in particular,
- discrepancy of point sets and quasi-Monte Carlo methods,
- the curse of dimensionality,
- lower bounds and complexity of continuous problems.
Lectures (room 31-302, 10:00 - 11:30) on thursdays
Exercises (room 31-215, 17:00 - 18:30) on tuesdays, bi-weekly
(first meeting April 30th, second meeting May 14th)
The exercise class on July 9th will be shifted to July 16th.
For further information see: KIS
Monte Carlo Algorithms
Monte Carlo algorithms are algorithms that use random numbers. The lecture provides an introduction to this important basic technique from mathematics and computer science. We study, in particular,
- direct simulation
- simulation of distributions and stochastic processes
- variance reduction
- high-dimensional integration
as well as applications from physics, finance, and actuarial mathematics.
Lectures are being held on tuesdays and thursdays, 13:45 - 15:15 in room 31-302 IBZ.
First lecture starts Tuesday, 16.04.2019.
Exercises are being held on fridays, 13:45 - 15:15 in room 31-302 IBZ.
First exercise starts Friday, 26.04.2019.
For further information see KIS