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| Author | : Rafail Z. Chasʹminskij |
| Publisher | : |
| Total Pages | : 19 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
| Author | : Simo Särkkä |
| Publisher | : Cambridge University Press |
| Total Pages | : 327 |
| Release | : 2019-05-02 |
| Genre | : Business & Economics |
| ISBN | : 1316510085 |
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
| Author | : Shannon Marie Kelly |
| Publisher | : |
| Total Pages | : 176 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
| Author | : Jaya P. N. Bishwal |
| Publisher | : Springer |
| Total Pages | : 271 |
| Release | : 2007-09-26 |
| Genre | : Mathematics |
| ISBN | : 3540744487 |
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
| Author | : Riccardo Cesari |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 1989 |
| Genre | : Diffusion processes |
| ISBN | : |
| Author | : N. Sri Namachchivaya |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 470 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 9401001790 |
Non-linear stochastic systems are at the center of many engineering disciplines and progress in theoretical research had led to a better understanding of non-linear phenomena. This book provides information on new fundamental results and their applications which are beginning to appear across the entire spectrum of mechanics. The outstanding points of these proceedings are Coherent compendium of the current state of modelling and analysis of non-linear stochastic systems from engineering, applied mathematics and physics point of view. Subject areas include: Multiscale phenomena, stability and bifurcations, control and estimation, computational methods and modelling. For the Engineering and Physics communities, this book will provide first-hand information on recent mathematical developments. The applied mathematics community will benefit from the modelling and information on various possible applications.
| Author | : Anilchandra G Ladde |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 634 |
| Release | : 2013-01-11 |
| Genre | : Mathematics |
| ISBN | : 9814397393 |
Volume 1: Deterministic Modeling, Methods and Analysis For more than half a century, stochastic calculus and stochastic differential equations have played a major role in analyzing the dynamic phenomena in the biological and physical sciences, as well as engineering. The advancement of knowledge in stochastic differential equations is spreading rapidly across the graduate and postgraduate programs in universities around the globe. This will be the first available book that can be used in any undergraduate/graduate stochastic modeling/applied mathematics courses and that can be used by an interdisciplinary researcher with a minimal academic background. An Introduction to Differential Equations: Volume 2 is a stochastic version of Volume 1 (“An Introduction to Differential Equations: Deterministic Modeling, Methods and Analysis”). Both books have a similar design, but naturally, differ by calculi. Again, both volumes use an innovative style in the presentation of the topics, methods and concepts with adequate preparation in deterministic Calculus. Errata Errata (32 KB)
| Author | : Wojciech Boguslaw Stasiak |
| Publisher | : |
| Total Pages | : 222 |
| Release | : 1977 |
| Genre | : Stochastic differential equations |
| ISBN | : |
| Author | : S. S. Artemiev |
| Publisher | : Walter de Gruyter |
| Total Pages | : 185 |
| Release | : 2011-02-11 |
| Genre | : Mathematics |
| ISBN | : 3110944669 |
This text deals with numerical analysis of systems of both ordinary and stochastic differential equations. It covers numerical solution problems of the Cauchy problem for stiff ordinary differential equations (ODE) systems by Rosenbrock-type methods (RTMs).
| Author | : Mathieu Kessler |
| Publisher | : CRC Press |
| Total Pages | : 509 |
| Release | : 2012-05-17 |
| Genre | : Mathematics |
| ISBN | : 1439849404 |
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions. Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
