Applied stochastic differential equations

DOI10.1017/9781108186735zbMATH Open1467.60043OpenAlexW4211127940MaRDI QIDQ4644596FDOQ4644596

Authors: Simo Särkkä, Arno Solin 

Publication date: 8 January 2019

Full work available at URL: https://semanticscholar.org/paper/c54b0ed93d2b3b3b00e07cdc94dbf19df53d5972

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zbMATH Keywords

Feynman-Kac formulastochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (33)

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• Data-driven probability density forecast for stochastic dynamical systems
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• Stochastic continuum approach to high-cycle fatigue: modelling stress history as a stochastic process
• Bayesian ODE solvers: the maximum a posteriori estimate
• Optimal stochastic forcings for sensitivity analysis of linear dynamical systems
• Quantum pure noise-induced transitions: a truly nonclassical limit cycle sensitive to number parity
• A Koopman framework for rare event simulation in stochastic differential equations
• Statistical inference for stochastic differential equations
• A stochastic averaging mathematical framework for design and optimization of nonlinear energy harvesters with several electrical DOFs
• Phase-dependence of response curves to deep brain stimulation and their relationship: from essential tremor patient data to a Wilson-Cowan model
• A generalized entropy optimization modelling in the theory of stochastic differential equations
• Stochastic replicator dynamics: a theoretical analysis and an experimental assessment
• A logistic-harvest model with Allee effect under multiplicative noise
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• Synchronization in directed nonlinear complex networks under intermittent stochastic control
• Adaptive and robust experimental design for linear dynamical models using Kalman filter
• On the pathwise uniqueness of solutions to stochastic differential equations
• First-passage time distribution of a Brownian motion: two unexpected journeys
• Conditioning two diffusion processes with respect to their first-encounter properties
• Convergence rates of Gaussian ODE filters
• Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
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• Deep state-space Gaussian processes
• Maximum likelihood estimation for a stochastic SEIR system with a COVID-19 application
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Stochastic Differential Equations for Science and Engineering
• Efficient computation of optimal open-loop controls for stochastic systems
• Exact solutions for the probability density of various conditioned processes with an entrance boundary
• Quantifying fluctuations for dynamical power systems with stochastic excitations: a power spectral density-based method
• Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

Uses Software

• Matlab

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