2023-04-25

# YUIMA Tutorial and YUIMA Conference at Linköping University (Mar 21 - Mar 24, 2023)

The YUIMA Tutorial 2023 is a four-day program that will take place at Linköping University, Department of Computer and Information Science, Sweden from March 21-24, 2023. The program will cover various topics related to stochastic calculus, simulation, inference, and model selection for diffusion processes.

The program is divided into lectures, lab sessions, and presentations. Each day begins with a coffee break, followed by lectures on the topic of the day, and a lunch break. The lectures are conducted by experts in the field.

The YUIMA Conference runs concurrently with the tutorial, and it serves as a supplementary meeting for YUIMA developers to explore more advanced topics beyond what is covered in the tutorial.

Day 1 - KEY1 lecture hall in Key Building

- 10:00-10:30: Coffee
- 10:30-10:45: Course introduction
- 10:45-11:30: Introduction to stochastic calculus I (stochastic processes, Brownian motion, labo with R)
- 11:30-13:00: Lunch break
- 13:00-14:15: Introduction to stochastic calculus II (stochastic integral and SDE, labo with R)
- 14:25-14:50: What can we do with YUIMA?
- 14:50-15:15: Coffee and cake
- 15:15-16:00: Linkoping Statistics Seminar
- [parallel to the tutorial] 10:45-11:30 & 13:00-14:50 YUIMA developers meeting

Day 2 - BL32 (called Nobel) lecture hall in B building

- 08:30-09:00: Coffee
- 09:00-10:15: Simulation of diffusion processes I (Euler-Maruyama approximation and introduction to YUIMA: yuima object, simulation, plot, Black-Scholes model, labo)
- 10:30-11:30: Simulation of diffusion processes II (simulation of various models for illustrations)
- 11:30-12:45: Lunch break
- 12:45-13:25: Labo (simulation with YUIMA)
- 13:30-14:45: Poisson process and Compound Poisson processes (introduction, simulation, labo)
- 14:45-15:15: Coffee and cake
- 15:15-16:00: LiU Machine Learning Seminar
- [parallel to the tutorial] 9:00-11:30 & 13:00-15:30 YUIMA developers meeting

Day 3 - I101 (called Eklundska salen) lecture hall in I building

- 08:30-09:00: Coffee
- 09:00-10:15: Inference for diffusion processes I (QMLE)
- 10:30-11:30: Inference for diffusion processes II (quasi-Bayes estimation)
- 11:30-13:00: Lunch break
- 13:00-14:15: Model selection for diffusion processes
- 14:15-14:45: Coffee and cake
- 15:00-16:00: Yuima GUI [Guidotti 1]
- 16:10-16:40: Presentations using YUIMA
- [parallel to the tutorial] 9:00-11:30 & 13:00-14:45 YUIMA developers meeting

Day 4 - KEY1 lecture hall in Key Building

- 08:30-09:00: Coffee
- 09:00-10:00: Lévy processes and Lévy driven SDE I (theoretical background and some examples)
- 10:30-11:30: Lévy processes and Lévy driven SDE II (simulation in YUIMA)
- 11:30-11:45: Course closing
- 11:45-13:15: Lunch break
- 13:15-14:45: Presentations using YUIMA
- 14:45-15:30: Presentations using YU
- [parallel to the tutorial] 9:00-11:30 developers meeting