Instructor: Allanus Tsoi

Description: We continue our discussion on numerical approximation of solutions of stochastic differential equations of diffusion type. The idea is centered on the notion of Taylor truncation and weak convergence. If time permits we will perform some error analysis related to certain numerical schemes that we will discuss.

Textbook: Numerical Solutions of Stochastic Differential Equations by P.Kloeden and E.Platen. (Springer)

Prerequisite: Math 8420 or consent of the instructor.