MATS442 Stochastic Simulation (5 cr)
Monte Carlo methods, such as importance sampling, rejection sampling, Markov chain Monte Carlo, sequential Monte Carlo and multilevel Monte Carlo. The contents vary yearly.
- apply stochastic simulation methods in practice,
- describe why the methods work,
- modify the methods for a specific application
The course is given biennially.
Description of prerequisites
Good control of foundations of probability, including continuous multidimensional distributions and knowledge of limit theorems (as in courses MATA2600 Basic course in probability & TILA2700 Further probability or TILA1200 Probability 1 & TILA1300 Probability 2 or MATA280 Foundations of Stochastics & MATS262 Probability Theory 2).