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A Tutorial Introduction to Stochastic Differential Equations: Continuous-time Gaussian Markov Processes
Christopher Williams
In: Dynamical Systems, Stochastic Processes and Bayesian Inference, 9 Dec 2006, Whistler, BC, Canada.
AbstractAbstract:
- AR processes, Langevin equations, SDEs
- Wiener process, simulation of SDEs, simple examples
- Infinitesimal first and second moments (Diffusion processes)
- Stationary processes---calculation of cov function/power spectrum
- Computing conditional distributions given initial conditions
- Brief discussion of Fokker-Planck equations
| EPrint Type: | Conference or Workshop Item (Tutorial) |
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| Additional Information: | A video of this lecture is available at
http://videolectures.net/dsb06_williams_ctgmp/ |
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| Project Keyword: | Project Keyword UNSPECIFIED |
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| Subjects: | Learning/Statistics & Optimisation |
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| ID Code: | 3444 |
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| Deposited By: | Christopher Williams |
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| Deposited On: | 11 February 2008 |
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