Название: Stochastic Differential Equations for Science and Engineering
Автор: Uffe Hogsbro Thygesen
Издательство: CRC Press
Год: 2023
Страниц: 381
Язык: английский
Формат: pdf (true)
Размер: 10.2 MB

Stochastic Differential Equations for Science and Engineering is aimed at students at the M.Sc. and PhD level. The book describes the mathematical construction of stochastic differential equations with a level of detail suitable to the audience, while also discussing applications to estimation, stability analysis, and control. The book includes numerous examples and challenging exercises. Computational aspects are central to the approach taken in the book, so the text is accompanied by a repository on GitHub containing a toolbox in R which implements algorithms described in the book, code that regenerates all figures, and solutions to exercises.

The book assumes that the reader is familiar with ordinary differential equations, is operational in “elementary” probability (i.e., not measure-theoretic), and has been exposed to partial differential equations and to stochastic processes, for example, in the form of Markov chains or time series analysis.

Features:

Contains numerous exercises, examples, and applications
Suitable for science and engineering students at Master’s or PhD level
Thorough treatment of the mathematical theory combined with an accessible treatment of motivating examples
GitHub repository available