Methods of integrating Stochastic Differential Equations (EDEs). Ito-Taylor expansion and simulation of stochastic multiple integrals. Strong approach of trajectories and weak approach of functional of the solution. Numerical methods: Euler-Maruyama, Ito-Taylor, Runge-Kutta stochastic. Extrapolation methods, Exponential schemes. Convergence speed. Numerical stability: A-stability, MS-stability. Simulation of functional solutions using simplified weak schemes. Monte Carlo methods for EDEs. Simulation of stochastic Hamiltonian systems. Efficient computational implementation of numerical schemes for PDEs. Applications to the simulation of real models, probabilistic methods for PDEs.
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