Skip to main content
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 Sandbox
  • Service Links
    MyCourses - Instructions for Teachers - 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)‎
  • Hi guest! (Log in)
close

EEA-EV - Course with Varying Content, Applied Stochastic Differential Equations, 29.10.2018-15.12.2018

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

Materials

  • Materials

    Materials

    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.


    • Restricted Not available unless: Your User account contains (use: aalto.fi) is aalto.fi
       Applied stochastic differential equations File
      PDF document
    • ODE Basics

    •  ODE Basics Self-Study Task (DL 30.10.2018) Page
    •  ODE Basics Quiz
    • Lecture 1 (DL 1.11.2018): Pragmatic Introduction to Stochastic Differential Equations
      


    •  Lecture 1 Part 1: Stochastic differential equations URL
    •  Lecture 1 Part 2: Stochastic processes in physics and engineering URL
    •  Lecture 1 Part 3: Heuristic solutions of linear SDEs URL
    •  Lecture 1 Part 4: Heuristic solutions of non-linear SDEs, and Summary URL
    •  Lecture 1 Quiz
    • Lecture 2 (DL 6.11.2018): Itô Calculus and Stochastic Differential Equations

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

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

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

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

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

Homework exercises and contact sessions►
Skip Upcoming events
Upcoming events
Loading
Site event MyCourses maintenance break - service out of use
Monday, 30 December, 09:00 » 16:30

Go to calendar...
EEA-EV - Course with Varying Content, Applied Stochastic Differential Equations, 29.10.2018-15.12.2018
Course home page
Materials
Homework exercises and contact sessions
Project work
Results
Home

Aalto logo

MyCourses protection of privacy | Privacy notice  | Service description

mycourses(at)aalto.fi


Hi guest! (Log in)
Home
  • 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
    • Sandbox
  • Service Links
    • MyCourses
    • - Instructions for Teachers
    • - 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)‎