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This is our 2020 curriculum. For the new structure, valid as of the 2021 intake, click here

Probabilistic computational methods

Additional Info

  • ECTS credits: 6
  • University: University of Nice - Sophia Antipolis
  • Semester: 3
  • 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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