Search for tag: "numerical methods in probability"

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Numerical Methods in Probability - lecture 6 duration 1 hour 35 minutes Numerical Methods in Probability - lecture 6 Numerical Methods in Probability - lecture 6	Numerical Methods in Probability - lecture 6 Random walk approximation of Brownian motion. Tree methods. Computationally simple trees: the case of a constant diffusion and the general case. How to parallelize the algorithm. phd school numerical methods in probability From Tiziano Vargiolu 20 plays 0
Numerical Methods in Probability - lecture 5 duration 1 hour 53 minutes Numerical Methods in Probability - lecture 5 Numerical Methods in Probability - lecture 5	Numerical Methods in Probability - lecture 5 A general weak convergence result for diffusion processes. Monte Carlo simulation of a diffusion process: the Euler scheme. Discretization error and Monte Carlo error. How to parallelize the… numerical methods in probability phd school From Tiziano Vargiolu 16 plays 0
Numerical Methods in Probability - lecture 4 duration 2 hours 1 minute Numerical Methods in Probability - lecture 4 Numerical Methods in Probability - lecture 4	Numerical Methods in Probability - lecture 4 Brownian motion. Nondifferentiability of paths. The stochastic integral and the Ito isometry. Ito processes and Ito formula. Stochastic differential equations. numerical methods in probability phd school From Tiziano Vargiolu 33 plays 0
Numerical Methods in Probability - lecture 3 duration 2 hours 1 minute Numerical Methods in Probability - lecture 3 Numerical Methods in Probability - lecture 3	Numerical Methods in Probability - lecture 3 Markov chains: definition and examples. Simulation of a Markov chain. Simulation of Markov chains in the ergodic case. phd school numerical methods in probability From Tiziano Vargiolu 19 plays 0
Numerical Methods in Probability - lecture 2 duration 1 hour 39 minutes Numerical Methods in Probability - lecture 2 Numerical Methods in Probability - lecture 2	Numerical Methods in Probability - lecture 2 Variance reduction methods in Monte Carlo: antithetic variables, control variates, importance sampling. Examples and implementation phd school numerical methods in probability From Tiziano Vargiolu 18 plays 0
Numerical Methods in Probability - lecture 1 duration 1 hour 23 minutes Numerical Methods in Probability - lecture 1 Numerical Methods in Probability - lecture 1	Numerical Methods in Probability - lecture 1 Introduction to the course. Monte Carlo methods. Simulation of random variables. Error estimation with Monte Carlo methods. phd school numerical methods in probability From Tiziano Vargiolu 32 plays 0