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EEA-EV - Vaihtuvasisältöinen opinto, Applied Stochastic Differential Equations, 01.07.2020-04.09.2020

This course space end date is set to 04.09.2020 Search Courses: EEA-EV

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Syllabus

Materials

  • Materials

    Materials

    The main textbook of the course is

    Simo Särkkä and Arno Solin (2019). Applied Stochastic Differential Equations. Cambridge University Press.

    The book can be found in this link:

    http://users.aalto.fi/~ssarkka/pub/sde_book.pdf

    The examples codes of the book can be found here:

    https://github.com/AaltoML/SDE

    Lecture Slides can also be found down below as well as the YouTube videos and the quizzes.

    • ODE Basics

    • icon for activity QuizODE Basics Quiz
      View Receive a grade
    • Lecture 1: Pragmatic Introduction to Stochastic Differential Equations
      


    • icon for activity URLLecture 1 Part 1: Stochastic differential equations URL
    • icon for activity URLLecture 1 Part 2: Stochastic processes in physics and engineering URL
    • icon for activity URLLecture 1 Part 3: Heuristic solutions of linear SDEs URL
    • icon for activity URLLecture 1 Part 4: Heuristic solutions of non-linear SDEs, and Summary URL
    • icon for activity QuizLecture 1 Quiz
      View Receive a grade
    • Lecture 2: Itô Calculus and Stochastic Differential Equations

    • icon for activity URLLecture 2 Part 1: Stochastic integral of Itô URL
    • icon for activity URLLecture 2 Part 2: Itô formula URL
    • icon for activity URLLecture 2 Part 3: Solutions of linear and non-linear SDEs, Summary URL
    • icon for activity QuizLecture 2 Quiz
      View Receive a grade
    • Lecture 3: Probability Distributions and Statistics of SDEs

    • icon for activity URLLecture 3 Part 1: Fokker-Planck-Kolmogorov Equation URL
    • icon for activity URLLecture 3 Part 2: Moments of SDEs URL
    • icon for activity URLLecture 3 Part 3: Statistics of linear SDEs, Markov, Markov Properties and Transition Densities SDEs, Summary URL
    • icon for activity QuizLecture 3 Quiz
      View Receive a grade
    • Lecture 4: Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations

    • icon for activity URLLecture 4 part 1: Introduction, Gaussian approximations of non-linear SDEs URL
    • icon for activity URLLecture 4 part 2: Itô-Taylor series of SDEs URL
    • icon for activity URLLecture 4 part 3: Itô-Taylor series based numerical methods, Summary URL
    • icon for activity QuizLecture 4 Quiz
      View Receive a grade
    • Lecture 5: Stochastic Runge–Kutta Methods

    • icon for activity URLLecture 5 part 1: Introduction, Runge–Kutta methods for ODEs URL
    • icon for activity URLLecture 5 part 2: Strong stochastic Runge–Kutta methods URL
    • icon for activity URLLecture 5 part 3: Weak stochastic Runge–Kutta methods, Summary URL
    • icon for activity QuizLecture 5 Quiz
      View Receive a grade
    • Lecture 6: Bayesian Inference in SDE Models

    • icon for activity URLLecture 6: Bayesian Inference in SDE Models - Problem Formulation URL
    • icon for activity URLLecture 6: Discrete-time Bayesian filtering and Smoothing URL
    • icon for activity URLLecture 6: Continuous/Discrete-Time and Continuous Bayesian Filtering and Smoothing URL
    • icon for activity QuizLecture 6 Quiz
      View Receive a grade
    • icon for activity FolderLecture Slides Folder

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  • EEA-EV - Vaihtuvasisältöinen opinto, Applied Stochastic Differential Equations, 01.07.2020-04.09.2020
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  • 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
    • 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
    • Sisu
    • 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
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