
Main courses will be taught by
Nawaf BouRabee
Rutgers University  Camden
Nestor Guillen
University of MassachusettsAmherst
Jonathan Mattingly
Duke University
Andrea Nahmod
University of MassachusettsAmherst
David Nualart
University of Kansas
Hendrik Weber
University of Warwick
Other speakers for tutorials
and lectures are
Liliana Borcea
University of Michigan
Georgi Mevedev
Drexel University
Kui Ren
University of Texas
at Austin
Gideon Simpson
Drexel University
Xiaoming Song
Drexel University
Vlad Vicol
Princeton University
J. Douglas Wright
Drexel University 
Home>Courses
All
the lectures and tutorial
sections will take place in
Randell Hall, Room 326.
Six
short courses will be taught as traditional
classroomstyle lectures. There will also be
a number of tutorial sessions in which
students, together with an instructor, work
out detailed example problems.
(1) Introduction to stochastic
differential equations I

Brownian motion, martingales and
stopping times, Markovian properties of
Brownian motion
 Ito and other versions of stochastic
calculus
 Stochastic differential equations
(SDEs), OU processs, Malliavin calculus
(2) Introduction to
stochastic computation
 Convergence and structural properties
of integrators: EulerMaruyama and
Milstein methods
 Metropolis algorithms for unbiased
sampling and their application to SDEs
(3) Introduction
to stochastic differential equations II
 Randomly forced partial differential
equations
 Probability measures in infinite
dimensions, rough path theory and
regularity structures
(4)
Stochastically forced Fluid equations
 the effect of random forcing on partial
differential equations from fluid dynamics
 NavierStokes, Euler and other fluid
models, ergodicity of solutions
(5) Invariant
measures for dispersive equations
 invariant measures for dynamical
systems, Gibbs and Wiener measures
 Schrodinger equations
(6) Introduction
to stochastic homogenization
 Methods for computing effective
deterministic equations for PDEs with
random coefficients
 Multiscale expansion and cell problems,
elliptic boundary value problems
All lecture notes or related files can be
found below:
Nawaf
BowRabee
David Nualart (Lecture
1, Lecture
2, Lecture
3)
Gideon
Simpson
Xiaoming Song (Tutorial 1,
Tutorial 2,
Talk and the
related paper)


