NWI-WM151B
Stochastic Simulation
Course infoSchedule
Course moduleNWI-WM151B
Credits (ECTS)8
CategoryMA (Master)
Language of instructionEnglish
Offered byRadboud University; Faculty of Science; Wiskunde, Natuur- en Sterrenkunde;
Lecturer(s)
Coordinator
prof. dr. G.J. Lord
Other course modules lecturer
Lecturer
prof. dr. G.J. Lord
Other course modules lecturer
Contactperson for the course
prof. dr. G.J. Lord
Other course modules lecturer
Examiner
prof. dr. G.J. Lord
Other course modules lecturer
Academic year2023
Period
KW1-KW2  (04/09/2023 to 28/01/2024)
Starting block
KW1
Course mode
full-time
Remarks-
Registration using OSIRISYes
Course open to students from other facultiesYes
Pre-registrationNo
Waiting listNo
Placement procedure-
Aims
The student is familiar with
  • knowledge of basic sampling techniques to draw from distributions
  • knowledge of Brownian motion and properties
  • knowledge of stochastic integrals and properties
  • knowledge of Stochastic Differential equations (SDEs)
  • understanding of the numerical approximation of SDEs and convergence
Content
We will develop an understanding of continous random variables and numerical simulation. We examine Brownian motion and its properites and develop stochastic integrals and stochastic calculus. This is presented in a pracitacal way with numerical simulations underpininning the analysis. We introduce  numerical methods for SDEs and the different notions of convergence for numerical methods. We analyse convergence of Euler--Maruyama method. Monte-Carlo simulations and convergence is also be discussed. Typical example SDEs in the course are Langevin equations, Geometric Brownian motion and Ornstein-Uhlenbeck process.

Instructional Modes
Level

Presumed foreknowledge
basic probability, numerical methods, calculus
Test information
Written exam and a project
Specifics

Recommended materials
Handouts

Instructional modes
Course
Attendance MandatoryYes

Tests
Tentamen
Test weight1
Test typeExam
OpportunitiesBlock KW2, Block KW3