ENGLISH

Applied stochastic differential equations

By Arno , Saarkk , Simo; Solin

Book information

Publisher
Cambridge University Press
Year
2019
ISBN
9781316510087, 9781108186735, 9781316649466, 1316510085, 1316649466
Language
english
Format
PDF
Filesize
3 MB (3287970 bytes)
Series
Institute of Mathematical Statistics textbooks ; v 10
Pages
pages cm\328
Library
kolxo3
Time added
2020-10-11 07:46:20
Stochastic differential equations;Stochastische Di

Description

"Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are useful in modeling uncertainties and noisy phenomena in many disciplines";Some background on ordinary differential equations -- Pragmatic introduction to stochastic differential equations -- Itô calculus and stochastic differential equations -- Probability distributions and statistics of SDEs -- Statistics of linear stochastic differential equations -- Useful theorems and formulas for SDEs -- Numerical simulation of SDEs -- Approximation of non-linear SDEs -- Filtering and smoothing theory -- Parameter estimation in SDE models -- Stochastic differential equations in machine learning

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