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Computational methods for stochastic differential equations

Course
MMA630
Master’s level
7,5 credits (ECTS)
Study pace
50%
Time
Day
Location
Göteborg
Study form
Campus
Language
English
Duration
-
Application open
-
Application code
GU-21756
Tuition
Full education cost: 14 875 SEK
First payment: 14 875 SEK

No fees are charged for EU and EEA citizens, Swedish residence permit holders and exchange students.

More information about tuition fees

Cancelled

About

Modeling under uncertainty has become one of the buzzwords of these days. Finance, weather prediction, biology, and geophysics are just some examples where we can nowadays apply random models. To use these models, we have to understand which information is required from the model in practice and how it can be extracted efficiently. Typical information that needs to be computed is so called "quantities of interest" which are of the form E[g(X)], where X is the solution to a stochastic differential equation given by the random model, g is some functional, and E notes the expected value.

In this course we discuss the efficient simulation of such quantities from two perspectives: As a first approach, we consider approximations of X and combine them with Monte Carlo methods to approximate the expected value. Secondly, we observe that our quantity of interest satisfies a partial differential equation, which we discretize with finite element methods. A combination of theory and explicit implementation of examples from applications helps us to get a sense of the power of the two different approaches.

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more information

Prerequisites and selection

Requirements

General entry requirements and the equivalent of the courses MSA350 Stochastic Calculus and MMG800 Partial Differential Equations.

Selection

All eligible applicants who have applied before the deadline will be granted a place.

Facilities

Mathematical
Sciences is a joint department of Chalmers/University of Gothenburg. Your
education takes place in the spacious and bright premises of Mathematical
Sciences at the Chalmers campus Johanneberg, where there are lecture halls,
computer rooms and group rooms. Here you can also find student lunch room and
reading room, as well as student counsellors and student office.

Maps for
Campus Johanneberg