Stochastic differential equations with R workshop
17-20 March, Linköping University Sweden
Page will be updated as more information becomes available
Registration:
Please contact me by email.
Content:
The final programme is still being prepared.
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
- Introduction to stochastic calculus (stochastic processes, Brownian motion, stochastic integral and SDE),
- Simulation of diffusion processes I (Euler-Maruyama approximation and introduction to YUIMA: yuima object, simulation, plot,
Black-Scholes model),
- Poisson process and Compound Poisson processes,
- Inference for diffusion processes
(QMLE, quasi-Bayes estimation),
- Model selection for diffusion processes,
- YUIMA GUI,
- 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.
PhD students:
There is the possibility of taking an examination worth 3 credits.
Past editions:
- The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process & Third Yuima Workshop, 25-28 June 2019, Brixen-Bressanone, Italy
- 21-24 March 2023, Linköping University, Linköping, Sweden