The main textbook of the course is
Simo Särkkä and Arno Solin. Applied Stochastic Differential Equations. Cambridge University Press (in press). This is available in PDF form below.
The lecture videos, lecture slides, and additional information are provided below on this page. The lecture topics must be studied and their homeworks and quizzes completed (preferably) before the corresponding contact sessions as follows:
- 30.10.2018 - Lecture 1: Pragmatic Introduction to Stochastic Differential Equations (PDF)
- 6.11.2018 - Lecture 2: Itô Calculus and Stochastic Differential Equations (PDF)
- 13.11.2018 - Lecture 3: Probability Distributions and Statistics of SDEs (PDF)
- 20.11.2018 - Lecture 4: Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations (PDF)
- 27.11.2018 - Lecture 5: Stochastic Runge–Kutta Methods (PDF)
- 4.12.2018 - Lecture 6: Bayesian Inference in SDE Models (PDF)
- 11.12.2018 - Project work information event
Additional ODE introduction material together with a quiz is provided as well, and they are recommended to be studied and completed by the first contact session, but they are not compulsory.