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Applied Stochastic Differential Equations (Hardcover)
Loot Price: R3,255
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Applied Stochastic Differential Equations (Hardcover)
Series: Institute of Mathematical Statistics Textbooks
Expected to ship within 12 - 17 working days
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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 Ito 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.
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