Applied Stochastic Differential Equations

Nonfiction, Science & Nature, Mathematics, Statistics, Computers, General Computing
Cover of the book Applied Stochastic Differential Equations by Simo Särkkä, Arno Solin, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Simo Särkkä, Arno Solin ISBN: 9781108693448
Publisher: Cambridge University Press Publication: February 28, 2019
Imprint: Cambridge University Press Language: English
Author: Simo Särkkä, Arno Solin
ISBN: 9781108693448
Publisher: Cambridge University Press
Publication: February 28, 2019
Imprint: Cambridge University Press
Language: English

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 hands-on 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 Runge–Kutta. 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 end-of-chapter exercises include application-driven derivations and computational assignments. MATLAB/Octave source code is available for download, promoting hands-on work with the methods.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 hands-on 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 Runge–Kutta. 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 end-of-chapter exercises include application-driven derivations and computational assignments. MATLAB/Octave source code is available for download, promoting hands-on work with the methods.

More books from Cambridge University Press

Cover of the book Explorations in Ancient and Modern Philosophy: Volume 1 by Simo Särkkä, Arno Solin
Cover of the book Principles of Modern Communication Systems by Simo Särkkä, Arno Solin
Cover of the book The Frankfurt School, Jewish Lives, and Antisemitism by Simo Särkkä, Arno Solin
Cover of the book Character as Moral Fiction by Simo Särkkä, Arno Solin
Cover of the book Non-International Armed Conflicts in International Law by Simo Särkkä, Arno Solin
Cover of the book Joining Hitler's Crusade by Simo Särkkä, Arno Solin
Cover of the book Financial Products by Simo Särkkä, Arno Solin
Cover of the book Being, Nature, and Life in Aristotle by Simo Särkkä, Arno Solin
Cover of the book Volkswagen in the Amazon by Simo Särkkä, Arno Solin
Cover of the book Cultures of Power in Post-Communist Russia by Simo Särkkä, Arno Solin
Cover of the book Cognition by Simo Särkkä, Arno Solin
Cover of the book Churchmen and Urban Government in Late Medieval Italy, c.1200–c.1450 by Simo Särkkä, Arno Solin
Cover of the book Imagining Europe by Simo Särkkä, Arno Solin
Cover of the book Floods in a Changing Climate by Simo Särkkä, Arno Solin
Cover of the book The Universal Structure of Categories by Simo Särkkä, Arno Solin
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy