Description 
1 online resource (ix, 316 pages) 
Series 
Institute of Mathematical Statistics textbooks ; 10 

Institute of Mathematical Statistics textbooks ; 10.

Contents 
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 nonlinear SDEs  Filtering and smoothing theory  Parameter estimation in SDE models  Stochastic differential equations in machine learning 
Summary 
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. This book is motivated by applications of stochastic differential equations in target tracking and medical technology and, in particular, their use in methodologies such as filtering, smoothing, parameter estimation, and machine learning. It builds an intuitive handson understanding of what stochastic differential equations are all about, but also covers the essentials of Itô calculus, the central theorems in the field, and such approximation schemes as stochastic RungeKutta. Greater emphasis is given to solution methods than to analysis of theoretical properties of the equations. The book's practical approach assumes only prior understanding of ordinary differential equations. The numerous worked examples and endofchapter exercises include applicationdriven derivations and computational assignments. MATLAB/Octave source code is available for download, promoting handson work with the methods 
Notes 
Vendorsupplied metadata 
Subject 
Stochastic differential equations  Textbooks


Ecuaciones diferenciales estocásticas


Stochastic differential equations

Genre/Form 
Textbooks

Form 
Electronic book

Author 
Solin, Arno, author

ISBN 
9781108186735 

1108186734 
