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

vCard
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

The student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on sampling methods as Monte Carlo, quasi Monte Carlo, Markov Chain Monte Carlo.

Numerical integration of stochastic differential equations

Review of stochastic calculus; Brownian motion, Stochastic integral; Ito's formula, stochastic differential equations; generator; Feynman-Kac's formula Numerical methods for stochastic differential equations; Euler Maruyama scheme; strong and weak convergence; stability; Milstein scheme and other integrators, Multi-level Monte-Carlo methods Other topics that may be addressed if ti