Mini-course on numerical methods for SDEs
30 August - 02 September, 2016
Please check for last-minute updates!
The mini-course is designed to give an accessible introduction to numerical discretisation
of stochastic differential equations (SDEs). Prerequisites will be kept to a minimum.
We assume only a basic competence in calculus (including ordinary differential equations) and probability.
Some familiarity with fundamental concepts from numerical analysis is also desirable, but not absolutely necessary.
We will mention some open research problems and discuss applications in molecular dynamics and financial engineering.
Basics of stochastic processes and SDEs
Numerical methods for SDEs -- the mean-square sense
Numerical methods for SDEs -- the weak sense
Basics of the Monte Carlo technique and variance reduction
Computing ergodic limits
Stochastic geometric integration
Applications in molecular dynamics and finance
Handout of the mini-course.
If you wish to participate to the mini-course,
please register by sending Jennie Ohlsson an e-mail with your name
and home institution.
Deadline for registration: 15.08.16
Attendance is free of charge. We cannot offer any financial supports.
The online schedule can be found
Lunches and a conference dinner are free of charge for the participants to the mini-course.
This mini-course is organised by
Hugo de la Cruz
within the framework Initiation Grants of the Swedish Foundation for International Cooperation in Research and Higher Education
STINT, we gratefully acknowledge its financial support.
We thank the Department of Mathematics and Mathematical Statistics at Umeå University
for the hospitality and additional financial support.
The mini-course will take place at the MIT building, Umeå University.
Further information about directions to Umeå University and Umeå
can be found here.
List of Participants (last update: 18.06.16)
Pablo Aguiar De Maio, FGV, Rio de Janeiro
Matematik och matematisk statistik
Rikard Anton, Umeå University
André Berglund, Umeå University
David Cohen, Umeå University
Hugo de la Cruz, FGV, Rio de Janeiro
Kira Gylling, Umeå University
Krister Jansson, Umeå University
Eddie Wadbro, Umeå University
Lai Zhang, Umeå University
last modifications: 31.08.16