Applied Stochastic Differential Equations

Simo Särkkä, Arno Solin  ·  2019

Reference. Särkkä, S. & Solin, A. (2019). Applied Stochastic Differential Equations. Cambridge University Press. ISBN 978-1-316-64946-6. doi:10.1017/9781108186735.  [link]

  • Claim: SDEs can be used in practice (simulated, estimated, filtered) without first mastering measure theory.
  • Method: Itô calculus, Fokker–Planck equations, numerical SDE solvers, filtering and smoothing, and parameter estimation.
  • Matters: The working maths behind the Itô/BSDE material and the Monte Carlo risk estimates on this site.
  • Connects to: Monte Carlo for risk estimation · Neftci
  • Code: —
Applied Stochastic Differential Equations cover
Cover of Applied Stochastic Differential Equations on the Open Library.