The course "Introduction to Stochastic Numerics" (3 ECTS) will run during week 7 (10-14 February).
Details of the course content can be found below and on the COMPUTE webpage.
The application form can be found here.

Students must be COMPUTE members to take this course: Membership is free, comes without any obligatory courses etc., and is open to all PhD students at the faculties of Science, Medicine, and LTH. The membership application form can be downloaded here.

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Introduction to Stochastic Numerics (Week 7, 3 ECTS)

Stochastic Differential Equations (SDEs) have become a quite standard tool to model differential equation systems subject to noise. Applications range from Neuroscience or Polymeric Chemistry to Finance or Mechanical Engineering.  Treating practical problems requires analytic techniques to understand and investigate properties of SDEs and stochastic numerical methods to compute quantities of interest, where the latter and the former often go hand in hand.  This course provides a basic inroduction to the concepts of SDEs and how to develop and analyse numerical methods for their simulation.

Assumed prior knowledge: Standard analysis and linear algebra, Numerical analysis of ordinary differential equations (including the corresponding programming skills), Basic probability theory.

Examination format: Written report on a project.

Contents:

* Introduction to Brownian motion, the Ito integral and SDEs

* Basic stochastic simulation

* Numerical methods for SDEs: what do they compute and what does convergence mean
here? 

* How to develop numerical methods for SDEs and a few classical examples

* Basic issues in analysing the performance of the methods.

This material will be provided in lectures and exercise classes, which include implementing numerical methods and testing them.

Application: If you would like to take the course please fill in this form and return it to Ross Church. Registration deadline is Tuesday January 28 2020.

Contact: Philipp Birken

Schedule: The course will run during Week 7 (10-14 February). Monday afternoon 2 h lecture, then 2 h exercises. Tuesday to Friday 2 h lecture and exercises mornings and afternoons.