Applied Stochastic Differential Equations

Rezensionen / Stimmen

'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-Universitaet 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 Ondrejat, the European Mathematical Society and the Heidelberg Academy of Sciences and Humanities