Stochastic differential equations with R workshop

Dates: 17-20 March 2026

Venue: Campus Valla, Linköping University, Linköping, Sweden

Run by the YUIMA team

Registration:

Please contact me by email.

Content:

The contents will include basic facts, laboratory sessions (participants work on their own laptops), and more advanced research-oriented talks. There is the possibility for research oriented talks by participants. If you are interested please mention this when contacting me.
We will cover topics such as
  1. Introduction to stochastic calculus (stochastic processes, Brownian motion, stochastic integral and SDE),
  2. Simulation of diffusion processes I (Euler-Maruyama approximation and introduction to YUIMA: yuima object, simulation, plot, Black-Scholes model),
  3. Poisson process and Compound Poisson processes,
  4. Inference for diffusion processes (QMLE, quasi-Bayes estimation),
  5. Model selection for diffusion processes,
  6. YUIMA GUI,
  7. Lévy processes and Lévy driven SDE.

Computer Tutorials (Lab):

Participants are required to bring their own laptop with the most recent release versions of R and Yuima installed. Please make sure that your computer's hardware is sufficiently powered and that you have administrator rights to install further R packages and tools if needed.

Programme:

DAY 1: March 17, Tuesday (Venue: Lecture hall Ada Lovelace )
TimeLecturerTopic
09:30-9:45Frank MillerWelcome
09:45-10:00Krzysztof BartoszekCourse introduction
10:00-10:45 Yuta Koike Introduction to stochastic calculus I (stochastic processes, Brownian motion, LAB with R)
11:00-12:15 Yuta Koike Introduction to stochastic calculus II (stochastic integral and SDE, LAB with R)
12:15-13:30 Lunch break
13:30-14:00 Kengo Kamatani What can we do with YUIMA?
14:15-15:15 Kengo Kamatani Simulation of diffusion processes I (Euler-Maruyama approximation and introduction to YUIMA: yuima object, simulation, plot, Black-Scholes model, LAB with R)
15:15-15:30 Break
15:30-16:30 Yuta Koike Simulation of diffusion processes II (simulation of various models for illustrations)
DAY 2: March 18, Wednesday (Venue: Lecture hall Ada Lovelace)
TimeLecturerTopic
9:45-10:45 Nakahiro Yoshida Inference for diffusion processes I (QMLE)
11:00-12:00 Kengo Kamatani Inference for diffusion processes II (quasi-Bayes estimation)
12:00-13:30 Lunch break
13:30-14:30 Hiroki Masuda Model selection for SDE (diffusion processes)
14:30-14:45 Break
14:45-15:45 Emanuele Guidotti Yuima GUI
16:00-16:30(?) Students' presentations(?)
DAY 3: March 19, Thursday (Venue: Lecture hall Ada Lovelace)
TimeLecturerTopic
9:45-10:45 Hiroki Masuda Lévy processes and Lévy-driven SDE I (theoretical background and some examples)
11:00-12:00 Hiroki Masuda Lévy processes and Lévy-driven SDE II (simulation and estimation in YUIMA)
12:00-13:30 Lunch break
13:30-14:30 Nakahiro Yoshida Asymptotic expansion (theoretical background)
14:45-15:45 Emanuele Guidotti Asymptotic expansion (implementation in R)
16:00-16:30(?) Students' presentations(?)
DAY 4: March 20, Friday (Venue: Lecture hall C4 10-12, Ada Lovelace 13:30-)
TimeLecturerTopic
10:00-11:15 Lorenzo Mercuri (online) Point process related (introduction, simulation, LAB with R)
11:15-11:45(?) Students' presentations(?)
11:45-12:00 Krzysztof Bartoszek Course closing
12:00-13:30 Lunch break
13:30- Advanced topics talks jointly with The LiU Seminar Series in Statistics and Mathematical Statistics

PhD students:

There is the possibility of taking an examination worth 3 credits.

Past editions:

  1. The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process & Third Yuima Workshop, 25-28 June 2019, Brixen-Bressanone, Italy
  2. 21-24 March 2023, Linköping University, Linköping, Sweden