This course focuses on the theory and numerical analysis of stochastic differential equations. The theory of stochastic analysis and stochastic differential equations play an important role in various fields such as mathematical finance, physics, and biology.For example, pricing of financial derivatives is done using stochastic differential equations (mathematical models). We study stochastic calculus models based on stochastic calculus and their numerical analysis methods.

We study stochastic analysis and its applications. For example, the Monte Carlo method based on the law of large numbers is one of the useful methods to numerically calculate integrals and expectations using random numbers. In our laboratory's seminars, students learn the basics of probability theory in undergraduate school and stochastic analysis in graduate school, and learn how to stochastic calculus models and numerical calculations using Monte Carlo methods for applications in fields such as mathematical finance.