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.
✔ Author(s): Simo Särkkä,Arno Solin
✔ Title: Applied Stochastic Differential Equations (Institute of Mathematical Statistics Textbooks, Series Number 10)
✔ Rating : 4.1 out of 5 base on (13 reviews)
✔ ISBN-10: 1316649466
✔ ISBN-13: 9781316649466
✔ Language: English
✔ Format ebook: PDF, EPUB, Kindle, Audio, HTML and MOBI
✔ Device compatibles: Android, iOS, PC and Amazon Kindle
Readers' opinions about Applied Stochastic Differential Equations by Simo Särkkä
Jillian Neel
This book has reignited my passion for reading. It reminded me of the sheer joy that can be found in losing oneself in the pages of a good story. I can't wait to explore more books now.
Sarah Franklin
What an intellectual journey! The themes explored in this book challenged my perceptions and sparked introspection. It's refreshing to read a book that provokes such thought.
Iris Watts
The characters in this book felt like old friends, and I was sad to say goodbye to them at the end. It's a testament to the author's talent for creating memorable and relatable personas.
