Stochastics and Probability

Stochastic Modeling and Simulation

Upon completing the module, the students master the basics of stochastic modelling and simulation. We first discuss discrete-time models, followed by two classic examples, and then continuous-time models.


Contents

Conditional probabilities, normal distributions, and scale-free distributions; Markov chains and their matrix representation, mixing times and Perron-Frobenius theory; Applications of Markov chains, such as the PageRank algorithm; Monte Carlo Methods: Convergence, Law of Large Numbers, Variance Reduction, Importance Sampling, Markov Chains Monte-Carlo Using Metropolis-Hastings & Gibbs Samplers; Random processes and Brownian motion: properties in 2, 3 and more dimensions, connection to the diffusion equation, Levy processes and anomalous diffusion; Stochastic differential equations (SDEs): Nonlinear transformations of Brownian motion (Ito calculus), Ornstein-Uhlenbeck process and other solvable equations; Examples from population dynamics, genetics, protein kinetics, etc.; Numerical simulation of SDEs: strong and weak error, Euler-Maruyama scheme, Milstein scheme.


Program / Module

M.Sc. Computational Modeling and Simulation
Module: CMS-COR-SAP - Stochastics and Probability


Time/Place
Winter Term

Lecture: Mondays, 4. DS (13:00-14:30) in APB-E008 (computer science building) / FIRST LECTURE: OCT 8
Exercises / Tutorials: Thursday, 5.DS (14:50 - 16:20) in APB-E009/U


Format

2 SWS lecture, 1 SWS exercise, 1 SWS tutorial, self-study

5 credits


Exam

Wednesday, February 20, 2019, 09:20-10:50h, CHE/089/E (chemistry building)

If there are more than 10 registered students, the module examination consists of a written examination, with a duration of 90 minutes. If there are 10 or fewer registered students, it consists of an oral examination as an individual examination performance amounting to 30 minutes; this will be announced to the enrolled students at the end of the enrollment period.

At the exam, the following may be used:

  • 4 A4 sheets (8 pages if you print duplex) of hand-written summary. We recommend writing the summary by hand, but it can also be machine-written. In the latter case, the font size must be 8 points or larger throughout.
  • A standard pocket calculator (devices with network or bluetooth access, as well as devices capable of storing and displaying documents are not allowed)
Items not adhering to these guidelines will be confiscated in their entirety at the beginning of the exam.


Registration to the course

For students of the Master program "Computational Modeling and Simulation: via CampusNet SELMA

For students of the Computer Science programs: via jExam


Teachers

Lecture: Prof. Ivo F. Sbalzarini & Dr. Christoph Zechner
Exercises: David Gonzales


Teaching language: ENGLISH


Lecture notes are available as PDF here.
Below is the weekly syllabus and the exercise/solution handouts:

Suggested Literature

Feller - an introduction to probability theory and its applications, Wiley+Sons, 1957.
Robert & Casella - Monte Carlo statistical methods, Springer, 2004.