### 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 Equations**Lecture 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)**