Applied Stochastic Differential Equations

Applied Stochastic Differential Equations

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
Publisher Cambridge University Press
Release Date
ISBN 110869344X
Pages pages
Applied Stochastic Differential Equations
Language: en
Pages: 300
Authors: Simo Särkkä
Categories: Business & Economics
Type: BOOK - Published: 2019-04-30 - Publisher: Cambridge University Press

Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are u
Applied Stochastic Processes
Language: en
Pages: 312
Authors: G. Adomian
Categories: Mathematics
Type: BOOK - Published: 2014-05-09 - Publisher: Academic Press

Applied Stochastic Processes is a collection of papers dealing with stochastic processes, stochastic equations, and their applications in many fields of science
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 636
Authors: Peter E. Kloeden
Categories: Mathematics
Type: BOOK - Published: 2011-06-15 - Publisher: Springer Science & Business Media

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas
Applied Stochastic Models and Control for Finance and Insurance
Language: en
Pages: 341
Authors: Charles S. Tapiero
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance
Applied Stochastic Processes
Language: en
Pages: 208
Authors: Ming Liao
Categories: Business & Economics
Type: BOOK - Published: 2013-07-22 - Publisher: CRC Press

Applied Stochastic Processes presents a concise, graduate-level treatment of the subject, emphasizing applications and practical computation. It also establishe
Applied Stochastic Control of Jump Diffusions
Language: en
Pages: 436
Authors: Bernt Øksendal
Categories: Business & Economics
Type: BOOK - Published: 2019-04-17 - Publisher: Springer

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its ap
An Introduction to the Numerical Simulation of Stochastic Differential Equations
Language: en
Pages: 293
Authors: Desmond J. Higham
Categories: Mathematics
Type: BOOK - Published: 2021-01-28 - Publisher: SIAM

This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject avail
Applied Stochastic Analysis
Language: en
Pages: 571
Authors: M. H. A. Davis
Categories: Mathematics
Type: BOOK - Published: 1991 - Publisher: CRC Press

A collection of 22 articles based on papers presented at a workshop held at Imperial College, London, April 1989. They concern applications of stochastic analys
Applied Stochastic Analysis
Language: en
Pages: 305
Authors: Weinan E
Categories: Education
Type: BOOK - Published: 2021-09-22 - Publisher: American Mathematical Soc.

This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Language: en
Pages: 856
Authors: Eckhard Platen
Categories: Mathematics
Type: BOOK - Published: 2010-07-23 - Publisher: Springer Science & Business Media

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of