Lesson 6 (1/5). Stochastic differential equations. Part 1

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4 жыл бұрын

Lecture for the course Statistical Physics (Master on Plasma Physics and Nuclear Fusion). Universidad Complutense de Madrid.
Course webpage:
seneca.fis.ucm.es/parr/sp

Пікірлер: 21

@stathius 2 жыл бұрын

I've searched a lot for good SDE tutorials. This was the best video series by far. Nothing, and I mean nothing, is taken for granted. Everything is rigorously explained and even if I didn't get something there was a concrete reference to go look at and then easily jump back. Enhorabuena profesor y muchisimas gracias!

@albertalbesagonzalez9386 2 жыл бұрын

Very nicely explained, I very much liked the balance between intuition and formality.

@Seastric 3 жыл бұрын

Thank you very much juan. Do you have any notes available for the public . Thank you in advance.

@user-wc7em8kf9d Жыл бұрын

Muchísimas gracias Profesor.

@angeloqwequ-boateng4686 2 жыл бұрын

This was very helpful, Juan

@julesdominik4744 4 жыл бұрын

great video thanks!

@leonardocabrera9253 2 жыл бұрын

Gracias Juan

@leonardocabrera9253 2 жыл бұрын

Loved it

@santosreckz7203 2 жыл бұрын

Hello SIr i am completely new to all of this, what basic knowledge do i need to understand stochastic differential equations or on this video is this the basic knowledge i need to know. i hope what is said makes sense?

@juanmrparrondo1375 2 жыл бұрын

I think you can follow it if you know differential calculus, a bit of differential equations, and basic probability (gaussian variables, central limit theorem, average, independent random variables)

@Happylife-en3se 2 жыл бұрын

thank you. please what is the programme that you use in these video (writing in table)

@juanmrparrondo1375 2 жыл бұрын

Hi. It is doceri: doceri.com/. It's a great app for the ipad. You can record the writing and play it in the class at the speed that you wish.

@Happylife-en3se 2 жыл бұрын

@@juanmrparrondo1375 muchos gracias

@rahulbansal2699 2 жыл бұрын

Sir Please tell me the basic books for stochastic differential equation and stochastic fractional differential equations please sir🙏

@juanmrparrondo1375 2 жыл бұрын

This is a good one specially if you are interested in simulations (but ok for theory as well): www.amazon.es/Stochastic-Numerical-Methods-Introduction-Scientists/dp/3527411496

@Bbdu75yg 10 ай бұрын

👍 Thanks

@awerawer0708 Жыл бұрын

I'm not sure what I'm misunderstanding at 35:00, the expectation of w(t) is 0 b/c w(t) ~ N(0, σ*root(t)), shouldn't the expectation of w(t)^2 = Var(W) which equals σ*root(t)? rather than σ^2*t

@juanmrparrondo1375 Жыл бұрын

I use the notation N(mu,sigma) to indicate a gaussian random variable with average mu and dispersion sigma (=> variance=sigma^2). I've just learned that the standard notation is N(mu,sigma^2). Sorry for the confusion! The Wiener process at time t is a gaussian variable with zero average and dispersion sigma*sqrt(t) => variance = sigma^2*t

@awerawer0708 Жыл бұрын

@@juanmrparrondo1375 ah thank you so much Professor, this video helped me greatly