MAP6467
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Stochastic Differential Equations and Filtering Theory I
LAS(LS)-Mathematics - 16320000LAS - Liberal Arts and Sciences
Long Description (Course Description)
Introduction to random functions; Brownian motion process. Ito's stochastic integral; Ito's stochastic calculus; stochastic differential equations. Linear filtering; Kalman filtering; nonlinear filtering theory.
Min Credits
3
Max Credits
3
Repeat for Credit
No
Total Credits Allowed
3
Grading Basis
GRD - Letter Grade