Random numbers, optimization methods, Markov processes, Monte Carlo methods and stochastic calculus and differential equations, survey of real world examples of stochastic methods.
FIM3010 Stochastic Methods 5.0 credits
This course has been discontinued.
Last planned examination: Spring 2021
Decision to discontinue this course:
No information inserted
Course offerings are missing for current or upcoming semesters.
Headings with content from the Course syllabus FIM3010 (Autumn 2013–) are denoted with an asterisk ( )
Content and learning outcomes
Course contents
Intended learning outcomes
When you have finished the course, you are able to:
List examples of different stochastic methods and judge when the methods are applicable.
Explain the physical principles and background of Monte Carlo methods and stochastic calculus.
Illustrate and discuss how Monte Carlo methods are constructed.
Literature and preparations
Specific prerequisites
Ph. D students in computational sciences and e-science
Basic knowledge in statistics and probability theory and basic knowledge using Matlab/Octave.
Recommended prerequisites
Basic knowledge in statistics and probability theory and basic knowledge using Matlab/Octave.
Equipment
Laptop with Matlab (or Octave) installed.
Literature
C. Gardiner, Stochastic Methods- A handbook for the Natural and Social Sciences , Springer Verlag 2009, ISBN: 978-3-540-70712-7
J. C. Spall, Introduction to Stochastic Search and Optimization, Wiley 2003, ISBN: 978-0-471-33052-3
N. G. van Kampen, Stochastic Processes in Physics and Chemistry, Elsevier, ISBN:978-0-444-52965-7
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
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Examination
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Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Other requirements for final grade
Examination (pass/fail):
Passing computer exercises
Project work with oral and written presentation
Opportunity to complete the requirements via supplementary examination
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Opportunity to raise an approved grade via renewed examination
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Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.
Further information
Course room in Canvas
Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.
Offered by
Main field of study
This course does not belong to any Main field of study.
Education cycle
Third cycle
Add-on studies
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Contact
Lars Bergqvist (lbergqv@kth.se)