Probabilistic numerical methods
- Unit Coordinator: Sylvain Rubenthaler
- Programme: InterMaths
- ECTS Credits: 6
- Semester: 1
- Year: 2
- Campus: University of Côte d'Azur
- Language: English
- Delivery: In-class
- 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
