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
Course Intro Lecture (DL 3.11.2016 at 14)
Lecture 1 (DL 3.11.2016 at 14): Pragmatic Introduction to Stochastic Differential Equations
Lecture 2 (DL 10.11.2016 at 14):
Itô Calculus and Stochastic Differential EquationsLecture 3 (DL 17.11.2016 at 14): Probability Distributions and Statistics of SDEs
Lecture 4 (DL 24.11.2016 at 14): Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations
Lecture 5 (DL 1.12.2016 at 14): Stochastic Runge–Kutta Methods
Lecture 6 (DL 8.12.2016 at 14)
End-of-course feedback (DL 8.1.2018)