Numerical integration of stochastic differential equations
MATH-450
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Teacher
Assistant
Course details
Lectures: Monday, 13:15 - 15:00, Room CO 121
Exercise sessions: Wednesday, 13:15 -15:00, Room DIA 004
Office Hours
There is an office hour on Tuesday from 14:15 to 15:00 in the office MA B2 435.
Please, it is mandatory to send an email to Fabio Z. before.
- Course book -- fiche de cours (URL)
- Announcements (Forum)
- Slides Introduction to the course (File)
- Course bibliography (Page)
- Notes Lecture 01 - review probability (File)
- Notes Lecture 02 - Stochastic processes and Brownian motion (File)
- Notes Lecture 03 - Stochastic integral and Ito processes (File)
- Notes Lecture 04 - SDEs and Feynman-Kac formula (File)
- Notes Lecture 05 - Eular Maruyama method and strong convergence (File)
- Notes Lecture 06 - Milstein and higher order schemes (File)
- Notes Lecture 07 - Weak convergence (File)
- Notes Lecture 08 - Stability (File)
- Notes Lecture 09 - Monte Carlo and Multilevel Monte Carlo (File)
Projects
30 September - 6 October
14 October - 20 October
21 October - 27 October
Easter break - no courses or exercise sheets this week.