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Applied Stochastic Differential Equations (Institute of Mathematical Statistics Textbooks Book 10) by [Simo Särkkä, Arno Solin]

Applied Stochastic Differential Equations (Institute of Mathematical Statistics Textbooks Book 10) 1st Edition, Kindle Edition

4.1 4.1 out of 5 stars 12 ratings

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Book Description

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice. --This text refers to the hardcover edition.


'Stochastic differential equations have long been used by physicists and engineers, especially in filtering and prediction theory, and more recently have found increasing application in the life sciences, finance and an ever-increasing range of fields. The authors provide intended users with an intuitive, readable introduction and overview without going into technical mathematical details from the often-demanding theory of stochastic analysis, yet clearly pointing out the pitfalls that may arise if its distinctive differences are disregarded. A large part of the book deals with underlying ideas and methods, such as analytical, approximative and computational, which are illustrated through many insightful examples. Linear systems, especially with additive noise and Gaussian solutions, are emphasized, though nonlinear systems are not neglected, and a large number of useful results and formulas are given. The latter part of the book provides an up to date survey and comparison of filtering and parameter estimation methods with many representative algorithms, and culminates with their application to machine learning.' Peter Kloeden, Johann Wolfgang Goethe-Universität Frankfurt am Main

‘Overall, this is a very well-written and excellent introductory monograph to SDEs, covering all important analytical properties of SDEs, and giving an in-depth discussion of applied methods useful in solving various real-life problems.’ Igor Cialenco, MathSciNet

‘Chapters are rich in examples, numerical simulations, illustrations, derivations and computational assignment’ Martin Ondreját, the European Mathematical Society and the Heidelberg Academy of Sciences and Humanities
--This text refers to the hardcover edition.

Product details

  • ASIN ‏ : ‎ B07N46NP4L
  • Publisher ‏ : ‎ Cambridge University Press; 1st edition (May 2 2019)
  • Language ‏ : ‎ English
  • File size ‏ : ‎ 15819 KB
  • Simultaneous device usage ‏ : ‎ Up to 4 simultaneous devices, per publisher limits
  • Text-to-Speech ‏ : ‎ Enabled
  • Screen Reader ‏ : ‎ Supported
  • Enhanced typesetting ‏ : ‎ Enabled
  • X-Ray ‏ : ‎ Not Enabled
  • Word Wise ‏ : ‎ Not Enabled
  • Sticky notes ‏ : ‎ On Kindle Scribe
  • Print length ‏ : ‎ 445 pages
  • Customer Reviews:
    4.1 4.1 out of 5 stars 12 ratings

Customer reviews

4.1 out of 5 stars
4.1 out of 5
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4.0 out of 5 stars As advertised
Reviewed in the United Kingdom 🇬🇧 on January 14, 2022
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4.0 out of 5 stars Overall happy.
Reviewed in the United States 🇺🇸 on December 12, 2022
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One person found this helpful
James Brownlow
4.0 out of 5 stars Great intro to SDEs
Reviewed in the United States 🇺🇸 on September 15, 2021
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