Stochoastic Methods For Computational Sciences

University of Alabama in Huntsville

CourseSPA 665

Stochastic processes, Langevin's equation, Ito calculus, Fokker-Planck equation, Levi processes, master equation, Euler-Maruyama, Milstein, and Runge-Kutta explicit and implicit schemes. Applications to turbulent diffusion, dynamical system stability; examples from chemistry, biology and finance.

Credits

3 credits

Course Code

SPA 665