Fabio Nobile

EPFL SB MATH CSQI
MA B2 444 (Bâtiment MA)
Station 8
1015 Lausanne

Web site:  Web site:  https://csqi.epfl.ch/

Web site:  Web site:  https://sma.epfl.ch/

EPFL AVP-PGE EDMA-GE
MA B2 424 (Bâtiment MA)
Station 8
1015 Lausanne

Web site:  Web site:  https://go.epfl.ch/phd-edma

EPFL AVP-PGE CDOCT
CE 1 631 (Centre Est)
Station 1
1015 Lausanne

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Administrative data

Publications

Infoscience publications

Teaching & PhD

Teaching

Mathematics

Courses

Advanced analysis II - vector analysis

The course studies fundamental concepts of analysis and the calculus of functions of several variables.

Stochastic simulation

- Random variable generation - Simulation of random processes - Simulation of Gaussian random fields. - Monte Carlo method; output analysis - Variance reduction techniques (antithetic variables, control variables, importance sampling, stratification) - Quasi Monte Carlo methods - Markov Chain Monte Carlo methods (Metropolis-Hasting, Gibbs sampler)

Numerical integration of stochastic differential equations

In this course we will introduce and study numerical integrators for stochastic differential equations. These numerical methods are important for many applications.