F11SS Stochastic Simulation

Dr Lehel Banjai

Course co-ordinator(s): Dr Lehel Banjai (Edinburgh).

Aims:

The aims of this module are to develop understanding of continous random variables and numerical simulation. We will examine Brownian motion and its properites and develop stochastic integrals and stochastic calculus. This will be done in a pracitacal way with numerical simulations underpininning the analysis. We will introduce numerical methods for SDEs and the different notions of convergence for numerical methods. We will analyse convergence of Euler--Maruyama method. Monte-Carlo simulations and convergence will also be discussed. Typical example SDEs in the course are Langevin equations, Geometric Brownian motion and Ornstein-Uhlenbeck process.

Detailed Information

Pre-requisite course(s): F11MT Modelling and Tools .

Location: Edinburgh.

Semester: 2.

Further information: Syllabus, Number of lectures, Assessment, Learning Outcomes.

SCQF Level: 11.

Credits: 15.