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
- 1995
- Tongue
- English
- Leaves
- 286
- Series
- Universitext
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
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 cases (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.
β¦ Table of Contents
Front Matter....Pages I-XVI
Introduction....Pages 1-4
Some Mathematical Preliminaries....Pages 5-17
Ito Integrals....Pages 18-39
Ito Processes and the Ito Formula....Pages 40-58
Stochastic Differential Equations....Pages 59-74
The Filtering Problem....Pages 75-102
Diffusions: Basic Properties....Pages 103-123
Other Topics in Diffusion Theory....Pages 124-159
Applications to Boundary Value Problems....Pages 160-182
Application to Optimal Stopping....Pages 183-211
Application to Stochastic Control....Pages 212-235
Back Matter....Pages 236-271
β¦ Subjects
Analysis;Theoretical, Mathematical and Computational Physics;Appl.Mathematics/Computational Methods of Engineering
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