Winter 2022 STAT 31120

Course: STAT 31120=CAAM 31120

Title: Numerical Methods for Stochastic Differential Equations

Instructor(s): Zhongjian Wang

Teaching Assistant(s): TBA

Class Schedule: Sec 1: TR 2:00 PM-3:20 PM in TBA

Textbook(s): TBA

Description:  The numerical analysis of SDE differs significantly from that of ODE due to the peculiarities of stochastic calculus. This course starts with a brief review of stochastic calculus and stochastic differential equations, then emphasizing the numerical methods needed to solve such equations. The stochastic Taylor expansion provides the basis for the discrete-time numerical methods for differential equations. The course presents many results on high-order methods for strong sample path approximations and for weak functional approximations. To help with developing an intuitive understanding of the underlying mathematics and hand-on numerical skills, examples and exercises on PC are included.