Probabilistic computational methods
Additional Info
- ECTS credits: 6
- University: University of Nice - Sophia Antipolis
- Semester: 3
- Lecturer 1: Sylvain Rubenthaler
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Topics:
• 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 and mathematical finance, 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. Exercices will be done on paper and on the computer (using Python language)
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