Applied stochastic differential equations /
Simo Sarkka and Arno Solin
- Cambridge, United Kingdom : Cambridge University Press, c2019
- ix, 316 pages : illustrations ; 23 cm.
Includes bibliographical references and index.
Some background on ordinary differential equations -- Pragmatic introduction to stochastic differential equations -- It├┤ 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.
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.