MATH-450 / 5 credits

Language: English

## Summary

In this course we will introduce and study numerical integrators for stochastic differential equations. These numerical methods are important for many applications.

## Learning Outcomes

By the end of the course, the student must be able to:

• Analyze the convergence and the stability properties of stochastiques numerical methods
• Implement numerical methods for solving stochastic differential equations
• Identify and understand the mathematical modeling of stochastic processes
• Manipulate Ito calculus to be able to perfom computation with stochastic differential equations
• Choose an appropriate numerical method to solve stochastic differential equations

## Teaching methods

Ex cathedra lecture, exercises in classroom

## Assessment methods

Written examination

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

## Notes/Handbook

L. Arnold, "Stochastic Differential Equations, Theory and applications", John Wiley & Sons, 1974

L.C. Evans, "An Introduction to Stochastic Differential Equations", AMS, 2013

P.E. Kloeden, E. Platen, "Numerical Solution of Stochastic Differential Equations", Springer, 1999.

H-H. Kuo, "Introduction to Stochastic Integration", Springer, 2005.

G.N. Milstein, M.V. Tretyakov, "Stochastic Numerics for Mathematical Physics", Springer, 2004.

## In the programs

• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Numerical integration of stochastic differential equations
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks

## Reference week

 Mo Tu We Th Fr 8-9 9-10 10-11 11-12 12-13 13-14 14-15 15-16 16-17 17-18 18-19 19-20 20-21 21-22