Applied Stochastic Differential Equations

ISBN-13: 9781316649466 / Angielski / Miękka / 2019 / 326 str.

Simo Sarkka; Arno Solin

Opis

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Recenzje

'Chapters are rich in examples, numerical simulations, illustrations, derivations and computational assignment' Martin Ondreját, the European Mathematical Society and the Heidelberg Academy of Sciences and Humanities

Spis treści

1. Introduction; 2. Some background on ordinary differential equations; 3. Pragmatic introduction to stochastic differential equations; 4. Ito calculus and stochastic differential equations; 5. Probability distributions and statistics of SDEs; 6. Statistics of linear stochastic differential equations; 7. Useful theorems and formulas for SDEs; 8. Numerical simulation of SDEs; 9. Approximation of nonlinear SDEs; 10. Filtering and smoothing theory; 11. Parameter estimation in SDE models; 12. Stochastic differential equations in machine learning; 13. Epilogue.