HAX603X - Stochastic modeling (2023 - 2024)

This is an undergraduate course (in French!) introducing standard techniques from stochastic modeling. Numerical elements are provided in Python.

Méthode de l'inverse

Course content

See GitHub website: HAX603X - Modélisation Stochastique for the course content.

  1. Generating randomness
    • Pseudo-random number generators
    • Digital illustrations and visualization in Python (law of large numbers, central limit theorem)
    • Simulations of random variables (inverse method, rejection method, specific cases, etc.)
  2. Monte Carlo Method
    • Monte Carlo method for the approximate calculation of an integral
    • Variance reduction: antithetic variables, control variables, preferential sampling.
  3. Supplementary topics
    • Gaussian vectors and their connection with common laws in inferential statistics (Student's t, chi-square)
    • Construction of confidence intervals.
    • Simple random walk, etc.

Additional Resources

Beginner Level

Advanced Level