Algorithms for Stochastic Analysis Using SageMath
Time: 14:00 -- Location: LRI, 445
summary: This talk explores algorithms for computations in stochastic analysis and their increasing relevance in modern mathematics. We present algorithms to explicitly solve Stochastic Differential Equations via Itô's Lemma, and derive solutions of certain partial differential equations using Feynman–Kac formula. Hence, emphasizing the need for developing SageMath packages for stochastic analysis.