Stochastic Calculus

In this category, I’d like to post the articles about stochastic calculus related to various topics such as the nonlinear filtering, machine learning, signal processing and fundamental theories.

• Solution of Fokker Plank Equation 30 Jun 2019

• Weak solution of Stochastic Differential Equation 28 Jan 2019

• Existence and Uniqueness of Stochastic Differential Equation 26 Jan 2019

• DiscreteGronwall Inequality 26 Nov 2018

• Important Assumption and Lemma for Stochastic Analysis 25 Nov 2018

• A Study of Stochastic Gradient (English/Korean) 05 Oct 2018

• Fermi-Dirac Statistics (written with Korean) 05 Oct 2018

• Ito Formula - Solution of Basic SDE 11 Aug 2018

• Wiener Process Properties 01 Aug 2018

• Kullback-Leibler Divergence 01 Aug 2018

• Fundamental Formulas for Stochastic Calculus 25 Jul 2018