Probabilistic numerical methods

Unit Coordinator: Etienne Tanré
Programme: Erasmus Mundus
ECTS Credits: 6
Semester: 1
Year: 2
Campus: University of Côte d'Azur
Language: English
Aims:
  • This course addresses the basic methods used for simulating random variables and implementing Monte-Carlo and Quasi Monte-Carlo methods.
  • Simulation of stochastic processes used in neuroscience, such as Brownian motion and solutions to stochastic differential equations, will be addressed.
  • The course will introduce sampling methods in finite dimension, discretization of diffusion processes, strong and weak errors.
Content:
  • Simulation
  • Monte-Carlo methodes
  • Discretization schemes
  • Error analysis
Pre-requisites:

Probability with measure theory, stochastic calculus, programming 


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