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
