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Lecture Room A, 4th Floor, The 3rd General Building, National Tsing Hua University
July 11(Wed.), PM 1:30-4:30 ; July 13(Fri.), AM 9:00-12:00, 2012 Speaker: Prof. Shuenn-Jyi Sheu (National Central University)
July 12 (Thu.), AM 9:00-12:00 ; July 19 (Thu.), AM 9:00-12:00, 2012 Speaker: Dr. Shang-Yuan Shiu (Academia Sinica)
Title: Introduction to Stochastic Partial Differential Equation (I, II, III, IV) Abstract:
There are two common approaches in stochastic partial differential equations [SPDEs], one is infinitely dimensional approach, the other one invented by Walsh is more probabilistic. In this summer program, we consider stochastic heat equations [SHEs] in the sense of Walsh. In order to make sense solutions to SHEs, we first introduce noises, which are Gaussian random measures, and then define the integral with respect to these Gaussian random measures. Once we can make sense solutions to SHEs, we will show the existence and uniqueness of solutions. Besides the existence and uniqueness, can we say more about solutions? The solutions to SHEs are far different from [deterministic] heat equations [HEs] because rough random potentials have been added. To see the difference between them [SHEs and HEs], we will discuss intermittency and fluctuations of the solutions to SHEs. References: 1. R. Dalang, D. Khoshnevisan, C. Mueller, D. Nualart and Y. Xiao. A minicourse on stochastic partial differential equations (2006), Lecture Notes in Math., vol. 1962, Springer, Berlin, 2009. 2. M. Foondun and D. Khoshnevisan, Intermittence and nonlinear parabolic stochastic partial differential equations. Electron. J. Probab. 14, no. 21, (2009) 548568. 3. D. Khoshnevisan, Parabolic SPDEs and intermittency. 16th Brazilian summer school of probability, Lecture Notes. 4. J. Walsh, An introduction to stochastic partial differential equations. cole d't de probabilits de Saint-Flour, XIV1984, 265439, Lecture Notes in Math., 1180, Springer, Berlin, 1986.
August 1 (Wed.), AM 9:00-12:00 ; August 3 (Fri.), AM 9:00-12:00 Speaker: Prof. Chuan-Hsiang (Sean) Han (National Tsing Hua University)
Title: Introduction to Monte Carlo Simulation with Applications in Finance (I, II, III, IV) Abstract:
Monte Carlo simulation is a stochastic approach to solve for computational problems. To give an overview of this subject, I shall introduce the following topics: ++ The history of Monte Carlo simulation ++ Basic theories of Monte Carlo simulation ++ Applications in quantitative finance ++ Speed up techniques: variance reduction and GPU computing ++ Randomized Quasi Monte Carlo method ++ Comparison with other numerical methods
References: 1. (2012), , . 2. P. Glasserman, Monte Carlo Methods for Financial Engineering, Springer-Verlag, New York, 2003.
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