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Course

MATH-450: Numerical integration of stochastic differential equations

Summary

In this course we will introduce and study numerical integrators for stochastic differential equations. These numerical methods are important for many applications.

Lectures

Instructors

Official source

https://edu.epfl.ch/coursebook/en/numerical-integration-of-stochastic-differential-equations-MATH-450

Moodle Page

http://go.epfl.ch/MATH-450

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