Skip to main content
MyCourses MyCourses
  • Schools
    School of Arts, Design, and Architecture (ARTS) School of Business (BIZ) School of Chemical Engineering (CHEM) –sGuides for students (CHEM) – Instructions for report writing (CHEM) School of Electrical Engineering (ELEC) School of Engineering (ENG) School of Science (SCI) Language Centre Open University Library Aalto university pedagogical training program UNI (exams) Sandbox
  • CORONAVIRUS INFO
    Koronavirus - tietoa opiskelijalle Coronavirus - information for students Coronavirus - information för studerande Koronaviruksen vaikutus opiskeluun: kysymyksiä ja vastauksia Effects of the coronavirus on studies: questions and answers Coronaviruset och studierna: frågor och svar Corona help for teachers
  • Service Links
    MyCourses - Instructions for Teachers - Teacher book your online session with a specialist - Digital tools for teaching - Personal data protection instructions for teachers - Instructions for Students - Workspace for thesis supervision WebOodi Into portal for students Courses.aalto.fi Library Services - Resourcesguides - Imagoa / Open science and images IT Services Campus maps - Search spaces and see opening hours Restaurants in Otaniemi ASU Aalto Student Union Aalto Marketplace
  • ALLWELL?
    Study Skills Support for Studying Starting Point of Wellbeing About AllWell? study well-being questionnaire
  •   ‎(en)‎
      ‎(en)‎   ‎(fi)‎   ‎(sv)‎
  • Toggle Search menu
  • Hi guest! (Log in)

close

EEA-EV - Course with Varying Content Applied Stochastic Differential Equations , 31.10.2016-17.12.2016

  1. Home
  2. Courses
  3. school of ele...
  4. department of...
  5. eea-ev - cour...
  6. Sections
  7. Materials
Syllabus

Materials

  • Materials

    Materials

    The main textbook of the course is

    • Simo Särkkä and Arno Solin (2014). Applied Stochastic Differential Equations. https://users.aalto.fi/~ssarkka/course_s2014/sde_course_booklet.pdf


    The lecture videos, lecture slides, and additional information are provided below on this page. The lectures must be studied and their quizzes completed before the corresponding contact sessions as follows:

    • 3.11.2016 - Lecture 0: Applied Stochastic Differential Equations Course in 2016 (PDF)
    • 3.11.2016 - Lecture 1: Pragmatic Introduction to Stochastic Differential Equations (PDF)
    • 10.11.2016 - Lecture 2: Itô Calculus and Stochastic Differential Equations (PDF)
    • 17.11.2016 - Lecture 3: Probability Distributions and Statistics of SDEs (PDE)
    • 24.11.2016 - Lecture 4: Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations (PDF)
    • 1.12.2016 - Lecture 5: Stochastic Runge–Kutta Methods (PDF)
    • 8.12.2016 - Lecture 6: Bayesian Inference in SDE Models (PDF)


    Additional ODE introduction material together with a quiz is provided as well, and they are recommended to be studied and completed by 3.11.2016, but they are not compulsory.

    • ODE Basics

    • icon for activity ODE Basics Self-Study Task (DL 3.11.2016 at 14) Page
    • icon for activity ODE Basics Quiz
    • Course Intro Lecture (DL 3.11.2016 at 14)

    • icon for activity Lecture 0: Applied Stochastic Differential Equations Course in 2016 URL
    • Lecture 1 (DL 3.11.2016 at 14): Pragmatic Introduction to Stochastic Differential Equations
      


    • icon for activity Lecture 1 Part 1: Stochastic differential equations URL
    • icon for activity Lecture 1 Part 2: Stochastic processes in physics and engineering URL
    • icon for activity Lecture 1 Part 3: Heuristic solutions of linear SDEs URL
    • icon for activity Lecture 1 Part 4: Heuristic solutions of non-linear SDEs, and Summary URL
    • icon for activity Lecture 1 Quiz
    • Lecture 2 (DL 10.11.2016 at 14): Itô Calculus and Stochastic Differential Equations

    • icon for activity Lecture 2 Part 1: Stochastic integral of Itô URL
    • icon for activity Lecture 2 Part 2: Itô formula URL
    • icon for activity Lecture 2 Part 3: Solutions of linear and non-linear SDEs, Summary URL
    • icon for activity Lecture 2 Quiz
    • Lecture 3 (DL 17.11.2016 at 14): Probability Distributions and Statistics of SDEs

    • icon for activity Lecture 3 Part 1: Fokker-Planck-Kolmogorov Equation URL
    • icon for activity Lecture 3 Part 2: Moments of SDEs URL
    • icon for activity Lecture 3 Part 3: Statistics of linear SDEs, Markov, Markov Properties and Transition Densities SDEs, Summary URL
    • icon for activity Lecture 3 Quiz
    • Lecture 4 (DL 24.11.2016 at 14): Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations

    • icon for activity Lecture 4 part 1: Introduction, Gaussian approximations of non-linear SDEs URL
    • icon for activity Lecture 4 part 2: Itô-Taylor series of SDEs URL
    • icon for activity Lecture 4 part 3: Itô-Taylor series based numerical methods, Summary URL
    • icon for activity Lecture 4 Quiz
    • Lecture 5 (DL 1.12.2016 at 14): Stochastic Runge–Kutta Methods

    • icon for activity Lecture 5 part 1: Introduction, Runge–Kutta methods for ODEs URL
    • icon for activity Lecture 5 part 2: Strong stochastic Runge–Kutta methods URL
    • icon for activity Lecture 5 part 3: Weak stochastic Runge–Kutta methods, Summary URL
    • icon for activity Lecture 5 Quiz
    • Lecture 6 (DL 8.12.2016 at 14)

    • icon for activity Lecture 6: Bayesian Inference in SDE Models - Problem Formulation URL
    • icon for activity Lecture 6: Discrete-time Bayesian filtering and Smoothing URL
    • icon for activity Lecture 6: Continuous/Discrete-Time and Continuous Bayesian Filtering and Smoothing URL
    • icon for activity Lecture 6 Quiz
    • End-of-course feedback (DL 8.1.2018)

Course home

Course home

Next section

Homework exercises►
Skip Search forums
Search forums
Advanced search Help with Search
Skip Upcoming events
Upcoming events
Loading There are no upcoming events
Go to calendar...
Skip Recent activity
Recent activity
Activity since Tuesday, 2 March 2021, 5:46 PM
Full report of recent activity...

No recent activity

  • EEA-EV - Course with Varying Content Applied Stochastic Differential Equations , 31.10.2016-17.12.2016
  • Sections
  • General
  • Materials
  • Homework exercises
  • Project work
  • Discussion forum
  • Home

Aalto logo

Tuki / Support
  • MyCourses help
  • mycourses(at)aalto.fi
Palvelusta
  • MyCourses rekisteriseloste
  • Tietosuojailmoitus
  • Palvelukuvaus
About service
  • MyCourses protection of privacy
  • Privacy notice
  • Service description
Service
  • MyCourses registerbeskrivining
  • Dataskyddsmeddelande
  • Beskrivining av tjänsten

Hi guest! (Log in)
  • Schools
    • School of Arts, Design, and Architecture (ARTS)
    • School of Business (BIZ)
    • School of Chemical Engineering (CHEM)
    • –sGuides for students (CHEM)
    • – Instructions for report writing (CHEM)
    • School of Electrical Engineering (ELEC)
    • School of Engineering (ENG)
    • School of Science (SCI)
    • Language Centre
    • Open University
    • Library
    • Aalto university pedagogical training program
    • UNI (exams)
    • Sandbox
  • CORONAVIRUS INFO
    • Koronavirus - tietoa opiskelijalle
    • Coronavirus - information for students
    • Coronavirus - information för studerande
    • Koronaviruksen vaikutus opiskeluun: kysymyksiä ja vastauksia
    • Effects of the coronavirus on studies: questions and answers
    • Coronaviruset och studierna: frågor och svar
    • Corona help for teachers
  • Service Links
    • MyCourses
    • - Instructions for Teachers
    • - Teacher book your online session with a specialist
    • - Digital tools for teaching
    • - Personal data protection instructions for teachers
    • - Instructions for Students
    • - Workspace for thesis supervision
    • WebOodi
    • Into portal for students
    • Courses.aalto.fi
    • Library Services
    • - Resourcesguides
    • - Imagoa / Open science and images
    • IT Services
    • Campus maps
    • - Search spaces and see opening hours
    • Restaurants in Otaniemi
    • ASU Aalto Student Union
    • Aalto Marketplace
  • ALLWELL?
    • Study Skills
    • Support for Studying
    • Starting Point of Wellbeing
    • About AllWell? study well-being questionnaire
  •   ‎(en)‎
    •   ‎(en)‎
    •   ‎(fi)‎
    •   ‎(sv)‎