We propose a new concept which allows us to apply any numerical method of weak approximation to a very broad class of stochastic differential equations (SDEs) with nonglobally Lipschitz coefficients.

We prove the curse of dimensionality for multivariate integration of Cr functions: The number of needed function values to achieve an error 𝜖 is larger than Cr(1 ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...