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Ebook: Applied stochastic differential equations

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07.02.2024
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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";Some background on ordinary differential equations -- Pragmatic introduction to stochastic differential equations -- Itô calculus and stochastic differential equations -- Probability distributions and statistics of SDEs -- Statistics of linear stochastic differential equations -- Useful theorems and formulas for SDEs -- Numerical simulation of SDEs -- Approximation of non-linear SDEs -- Filtering and smoothing theory -- Parameter estimation in SDE models -- Stochastic differential equations in machine learning
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