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Stochastic Calculus and Uncertainty Analysis (BENG0091)

Key information

Faculty
Faculty of Engineering Sciences
Teaching department
Biochemical Engineering
Credit value
15
Restrictions
1. ENGS203P or BENG0017 or COMP206P or other suitable Year 2 or Year 3 course covering differential and integral calculus 2. Required A-level subjects: Mathematics 3. Any other restriction (i.e. module available to all Engineering students in FES)? BEng Engineering (Biochemical) - UBNBENSING14 MEng Engineering (Biochemical) - UMNBENSING14 BEng Engineering (Biomedical) - UBNBMDSING05 MEng Engineering (Biomedical) - UMNBMDSING05 BEng Engineering (Civil) - UBNCIVSING14 MEng Engineering (Civil) - UMNCIVSING14 BEng Engineering (Chemical) - UBNCENSING14 MEng Engineering (Chemical) - UMNCENSING14 BSc Computer Science - UBNCOMSING14 MEng Computer Science - UMNCOMSING14 MEng Engineering and Architectural Design - UMNENGAARD05 BEng Engineering (Electronic and Electrical) - UBNEENSEEE14 MEng Engineering (Electronic and Electrical) - UMNEENSEEE14 BEng Engineering (Mechanical) - UBNMECSING14 MEng Engineering (Mechanical) - UMNMECSING14 BEng Engineering (Mechanical with Business Finance) - UBNMECWBFN14 MEng Engineering (Mechanical with Business Finance) - UMNMECWBFN14 BSc Physics (F300) - (UBSPHYSING05) MSci Physics (F303) - (UMSPHYSING05) BSc Theoretical Physics (F340) - (UBSPHYSTPH05) MSci Theoretical Physics (F345) - (UMSPHYSTPH05) BSc Astrophysics (F510) - (UBSASTSPHY05) MSci Astrophysics (F511) - (UMSASTSPHY05) BSc Chemistry with Mathematics - (UBSCHEWMAT01) MSci Chemistry with Mathematics - (UMSCHEWMAT05) BSc Mathematics and XXX - (UBSMATAXXX01) MSci Mathematics and XXX - (UMSMATAXXX05) BSc Mathematics - (UBSMATSING01) MSci Mathematics - (UMSMATSING05) BSc Mathematics with XXX - (UBSMATWXXX01) MSci Mathematics with XXX - (UMSMATWXXX05)
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

This module will introduce the concepts and theories of Stochastic calculus and the use of Monte Carlo techniques for the solution of high dimensional problems prevalent in modern Engineering (and Finance) applications. Students will be introduced to concepts and techniques in (quasi-) random number generation and the sampling of multidimensional spaces. This will provide a link between stochastic calculus and uncertainty and (global) sensitivity analysis.

The aim of this module is to provide the core mathematical, numerical and analytical skills that underpin the study of complex high-dimensional phenomena and/or phenomena with uncertain, unknown or random aspects. A link between stochastic calculus and the techniques discussed in the first two modules of this Minor will be provided in the form of uncertainty (sensitivity) analysis. An overview of state-of-the-art sensitivity analysis methods will be presented and their suitability to analyze 鈥渞eal-life鈥� problems covering a range of topics (Engineering, Environmental Safety, Finance) will be discussed.

On successfully completing the module, students will be able to:

  • Recognize the connections between stochastic processes, stochastic calculus and how stochasticity is embedded in real-life applications;
  • Understand the basic concepts of Stochastic Calculus
  • Perform integration of simple stochastic processes
  • Perform integration of continuous stochastic processes
  • Understand the operating principles and limitations of Random Number Generators
  • Identify appropriate methods for and perform Sensitivity Analysis on real-life models sourced from various disciplines
  • Present and interpret quantitative results in effective and appropriate ways to varied audiences, including non-mathematical or engineering audiences.

Module deliveries for 2024/25 academic year

Intended teaching term: Term 2 听听听 Undergraduate (FHEQ Level 6)

Teaching and assessment

Mode of study
In person
Methods of assessment
50% Exam
50% Coursework
Mark scheme
Numeric Marks

Other information

Number of students on module in previous year
68
Module leader
Dr Duygu Dikicioglu
Who to contact for more information
beugadmin@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

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Important information

The catalogue has been updated with key information about the modules that will run during the 2024/25 academic session. Current and prospective students can browse through the catalogue to consider possible module choices for the coming year.

Please note,听information in the catalogue is听subject to change as teaching and assessment arrangements for 2024/25 may need to be adjusted in line with the University's Feedback and Assessment principles and operating model.

Centrally managed exam durations will be provided on students' individual exam timetables. Arrangements for locally managed exams and in-class activity will be confirmed by the teaching department for the module.

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