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
- 1985
- Tongue
- English
- Leaves
- 217
- Series
- Universitext
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Table of Contents
Front Matter....Pages I-XIII
Introduction....Pages 1-6
Some Mathematical Preliminaries....Pages 7-14
ITO Integrals....Pages 15-31
Stochastic Integrals and the ITO Formula....Pages 32-37
Stochastic Differential Equations....Pages 38-50
The Filtering Problem....Pages 51-78
Diffusions....Pages 79-119
Applications to Partial Differential Equations....Pages 120-142
Application to Optimal Stopping....Pages 143-170
Application to Stochastic Control....Pages 171-188
Back Matter....Pages 189-208
β¦ Subjects
Probability Theory and Stochastic Processes
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