Mini-course on the numerical integration of stochastic differential equations
February 11-13, 2010

The mini-course is designed to give an accessible introduction to the numerical solution of stochastic differential equations. Prerequisites will be kept to a minimum. We assume only a basic competence in algebra and calculus. Some familiarity with fundamental concepts from numerical analysis and probability is also desirable, but not absolutely necessary. We will mention some open research problems and discuss applications in biology and finance.
Handout of the mini-course NEW .




Schedule & Files

  Thursday February 11, 2010
10:30-12:00 Background: Random Variables and Brownian Motion
12:00-14:00 Lunch
14:30-16:00 SDEs: Stochastic integrals, SDEs, examples
Euler-Maruyama and weak convergence
  Friday February 12, 2010
10:30-12:00 Strong convergence
12:00-14:00 Lunch
14:30-16:00 Stability
Nonnormality Issues
  Saturday February 13, 2010
10:15-11:00 Applications: Multi-Level Monte Carlo for Financial Option Valuation
11:15-12:00 Applications: SDE models arising in Biochemistry
12:00-17:00 Lunch and excursion at the Tinguly museum


This mini-course is organised within the framework of the Swiss National Science Foundation Pro*Doc NumPDE program and we gratefully acknowledge its financial support.

Practical Informations

The mini-course will take place at the grosser Hörsaal, Mathematisches Institut, Basel.
Here is a map with the train station, the institute and some hotels (thanks to Jonas Budminger and
Please check for last-minute updates!

List of Participants (last update: 10.02.10)

Holger Brandsmeier, ETH Zurich
Thomas Buchsbaum, EAWAG
Le Chen, EPFL
Matthias Christen, University of Basel
David Cohen, University of Basel
Federico Felizzi, ETH Zurich
Georgios Fengos, ETH Zurich
Mathias Ganter, ETH Zurich
Vladislav Georgiev, Sofia University St. Kliment Ohridski
Marcus Grote, University of Basel
Rafaela Guberovic, ETH Zurich
Jean Hausser, University of Basel
Sereina Herzog, University of Bern
Johannes Huber, University of Basel
Jingzhi Li, ETH Zurich
Hans-Michael Kaltenbach, ETH Zurich
Peter Kauf, ETH Zurich
Conradin Kraemer, ETH Zurich
Florian Krämer, ETH Zurich
Andrea Kvitkovicova, EPFL
Christophe Laforge, Bank for International Settlements
Andre Leier, ETH Zurich
Mario Marchisio, ETH Zurich
Tatiana Marquez-Lago, ETH Zurich
Christian Mayer, ETH Zurich
Dominique Mexer, University of Basel
Teodora Mitkova, University of Basel
Anthea Monod, EPFL
Oliver Nowak, ETH Zurich
Sandhya Prabhakaran, University of Basel
Sudhir Shankar Raman, University of Basel
Oleg Reichmann, ETH Zurich
Sonja Rieder, EPFL
Madan Sathe, University of Basel
Olaf Schenk, University of Basel
Christoph Schwab, ETH Zurich
Magdalena Sigg, University of Basel
Imbo Sim, EPFL
Corina Simian, University of Zurich
Christian Stohrer, University of Basel
Daniela Stoica, Bern University of Applied Sciences
Mikael Sunnaker, ETH Zurich
Karen Yeressian, University of Zurich
Marcel Wirz, University of Bern


David Cohen, Marcus Grote

Mathematisches Institut
Universität Basel
Rheinsprung 21
CH-4051 Basel

last modifications: 12.02.10