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Authorร{152}ksendal, Bernt. author
TitleStochastic Differential Equations [electronic resource] : An Introduction with Applications / by Bernt ร{152}ksendal
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003
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Descript XXVII, 379 p. online resource


Some Mathematical Preliminaries -- Itรด Integrals -- The Itรด Formula and the Martingale Representation Theorem -- Stochastic Differential Equations -- The Filtering Problem -- Diffusions: Basic Properties -- Other Topics in Diffusion Theory -- Applications to Boundary Value Problems -- Application to Optimal Stopping -- Application to Stochastic Control -- Application to Mathematical Finance

Mathematics Mathematical analysis Analysis (Mathematics) Partial differential equations System theory Calculus of variations Probabilities Physics Mathematics Analysis Probability Theory and Stochastic Processes Theoretical Mathematical and Computational Physics Systems Theory Control Calculus of Variations and Optimal Control; Optimization Partial Differential Equations


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