Stochastic Partial Differential Equations

Third-cycle level | 7.5 credits | Course code: NFMV019
HT 2021
Study period: 2021-11-01 - 2022-01-16
LANGUAGE OF INSTRUCTION: The course is given in English
Application period: 2021-08-13 - 2021-09-15

Course description

The course will cover a suitable subset of the following topics. The final curriculum will be decided with the participants at the beginning of the course.

  • Gaussian measures on Hilbert space
  • Hilbert-space-valued Wiener processes and stochastic integration
  • Existence and uniqueness of solutions to stochastic partial differential equations
  • Strong and weak approximations of solutions with convergence analysis
  • Simulation of Wiener processes
  • Monte Carlo and multilevel Monte Carlo methods

Requirements and Selection

Entry requirements

Basic knowledge in numerical analysis, probability theory, partial differential equations, stochastic processes.


Not relevant

Course syllabus



Department of Mathematical Sciences


Natural Science and Mathematics

Type of course

Subject area course


Stochastic partial differential equations

CONTACTAnnika Lang