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
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Lecture 1: Pragmatic Introduction to Stochastic Differential Equations
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Lecture 2:
Itô Calculus and Stochastic Differential Equations- View Receive a grade
Lecture 3: Probability Distributions and Statistics of SDEs
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Lecture 4: Numerical Solution of SDEs, Itô–Taylor Series, Gaussian Approximations
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Lecture 5: Stochastic Runge–Kutta Methods
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Lecture 6: Bayesian Inference in SDE Models
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