SEMESTRE THEMATIQUE MONTE-CARLO METHODS: UNCERTAINY PROPAGATION, PARTICLES METHODS AND STOCHASTIC ALGORYTHMS FOR BIG DATA

For each topic, academic lectures of eight to twelve hours will be given, and followed by a one day workshop. The lectures aim at presenting the most advanced technologies while being accessible to young researchers. More specialized talks will be organized during the workshops, as well as round tables so as to create interactions between academics and practitioners. A final conference will conclude the cycle.

A first series of lectures will be given on the Propagation of Uncertainty at the Institut Henri Poincaré (9am-11am):

OCTOBER 9 : L. Tamellini, PC approximation, Sparse grids.
OCTOBER 16 : F. Nobile, PC approximation, Sparse grids.
NOVEMBER 6 : G. Migliorati, Random L2 regression methods.
NOVEMBER 13 : Raul Tempone, Sparse grids in option pricing of basket options.
Multilevel Monte Carlo-Multi index Monte Carlo.
NOVEMBER 20 : Alvaro Moraes, Pure jump processes and Multilevel Monte Carlo.

They will be concluded by a workshop, that will take place on December 11, at the Amphithéâtre Hermite of the Institute Henri Poincaré.
Participation is free but registration is compulsory for the workshop. Please send an email to MonteCarloParis@gmail.com before December 1st with title “Registration to the Workshop on Propagation of Uncertainty”.

Two other series of lectures/workshops will be organized later in the year, see this web page.