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Computational methods for stochastic differential equations

Master's level | 7.5 credits | Course code: MMA630
Spring 2021
50% Day
Period: 18 January 2021 - 24 March 2021
2 Opens 15 September GU-21756
2) Only EU/EEA citizens and students with approved residence permit in Sweden can apply

About the Course

Modeling under uncertainty has become one of the buzzwords of these days. Finance, weather prediction, biology, and geophysics are just some examples where we can nowadays apply random models. To use these models, we have to understand which information is required from the model in practice and how it can be extracted efficiently. Typical information that needs to be computed is so called "quantities of interest" which are of the form E[g(X)], where X is the solution to a stochastic differential equation given by the random model, g is some functional, and E notes the expected value.

In this course we discuss the efficient simulation of such quantities from two perspectives: As a first approach, we consider approximations of X and combine them with Monte Carlo methods to approximate the expected value. Secondly, we observe that our quantity of interest satisfies a partial differential equation, which we discretize with finite element methods. A combination of theory and explicit implementation of examples from applications helps us to get a sense of the power of the two different approaches.

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Course Syllabus


Requirements and Selection

Requirements: General entry requirements and the equivalent of the courses MSA350 Stochastic Calculus and MMG800 Partial Differential Equations.

Selection: All eligible applicants who have applied before the deadline will be granted a place.

Tuition Fee

Application fee: 900 SEK
Full course cost: 14 875 SEK
First payment: 14 875 SEK

EU/EEA citizens, Swedish residence permit holders and exchange students do not pay fees. More information on:

Study Guidance, tel: 031-772 3505


Department of Mathematical Sciences
41296 Göteborg

Visiting address: Chalmers Tvärgata 3

Phone: 0317721000

Page Manager: Pontus Sundén
Last update: 2/18/2020 2:41 PM

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Page Manager: Pontus Sundén|Last update: 10/16/2018

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