Jun 19, 2018  
2011-2012 Graduate Catalog 
    
2011-2012 Graduate Catalog [ARCHIVED CATALOG/PREVIOUS EDITION]

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MAP 6467: Stochastic Differential Equations and Filtering Theory I


Credits: 3                    Grading Scheme: Letter

     

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.



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