Stochastic Differential Equations: An In
β Bernt K. Oksendal
π Library
π
2002
π Springer
π English
β¦ LIBER β¦
π
Stochastic Differential Equations: An Introduction with Applications
β Scribed by Bernt Γksendal (auth.)
- Publisher
- Springer Berlin Heidelberg
- Year
- 1998
- Tongue
- English
- Leaves
- 332
- Series
- Universitext
- Category
- Library
β¬ Acquire This Volume
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β¦ Synopsis
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. The new feature of this 5th edition is an extra chapter on applications to mathematical finance.
β¦ Table of Contents
Front Matter....Pages I-XIX
Introduction....Pages 1-5
Some Mathematical Preliminaries....Pages 7-19
Ito Integrals....Pages 21-42
The Ito Formula and the Martingale Representation Theorem....Pages 43-60
Stochastic Differential Equations....Pages 61-78
The Filtering Problem....Pages 79-106
Diffusions: Basic Properties....Pages 107-130
Other Topics in Diffusion Theory....Pages 131-165
Applications to Boundary Value Problems....Pages 167-194
Application to Optimal Stopping....Pages 195-223
Application to Stochastic Control....Pages 225-248
Application to Mathematical Finance....Pages 249-288
Back Matter....Pages 289-324
β¦ Subjects
Probability Theory and Stochastic Processes;Partial Differential Equations;Theoretical, Mathematical and Computational Physics;Systems Theory, Control;Calculus of Variations and Optimal Control;Optimization
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