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Mini Course 'Particle and Related Methods' by Denis Belomestny

On May 27 - June 2, Denis Belomestny, Leading Research Fellow at the Laboratory of Stochastic Analysis and its Applications, Professor at the University of Duisburg - Essen delivered a series of lectures on 'Particle and Related Methods'.

Topics:

Lecture 1-2.  PARTICLE AND RELATED METHODS FOR CONDITIONAL MCKEAN–VLASOV EQUATIONS 

  • Conditional McKean-Vlasov equations
  • Particle methods
  • Applications in Physics


Lecture 3-4.  RATE OF CONVERGENCE OF A PARTICLE METHOD TO THE SOLUTION OF THE MCKEAN–VLASOV EQUATIONS

  • Euler–weakly interacting particle system
  • Malliavin calculus