Recommendation for good online videos for stochastic differential equations

Question

I have a background in statistics and was interested in learning more about modeling with Stochastic Differential Equations. I understand the basics of stochastic processes and measure theory, etc., as well as differential equations and numerical methods. I started to read Evan's short guide to SDEs which is nice. But I find myself getting a bit lost in a lot of the formalisms for defining martingales and then brownian motion, etc. I tend to find it hard to simply read equations instead of seeing someone explain the derivations--especially for a new topic.

I was hoping someone could recommend some online videos or online course on Stochastic Differential Equations. I found a lot of videos on Youtube and google, but was not sure which of them are good. Many of those videos are very incomplete, etc. Any help would be appreciated.

Thanks.

Answer 1

Maybe this answer is a bit late for you but I am sure there are a lot of other people with the same question. To them, I recommend the following:

1. Stochastic Processes - University of Leipzig
2. Stochastic Analysis and Stochastic Differential Equations - University of Oslo
3. Stochastics II - Freie Universität Berlin
4. Stochastic Partial Differential Equations - Freie Universität Berlin

Answer 2

I did find this set of videos very helpful. They are by MIT with a financial focus, but the lectures by Choongbum Lee were at the right level of formalism versus intuition for me. He does a good job of explaining

https://www.youtube.com/playlist?list=PLUl4u3cNGP63ctJIEC1UnZ0btsphnnoHR

In lecture 5, Lee goes over the basics of stochastic processes. Then the real materials starts in lecture 17 where he goes over continuous time processes and derives Ito's Lemma. Lecture 18 continues with Ito's lemma, integration of the Ito integral, and finally a discussion on Girsanov's theorem.

After watching these videos I feel a lot more comfortable reading Evan's book on SDEs or Kloeden, etc.