Authorรksendal, Bernt. author
TitleStochastic Differential Equations [electronic resource] : An Introduction with Applications / by Bernt รksendal
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003
Connect tohttp://dx.doi.org/10.1007/978-3-642-14394-6
Descript XXVII, 379 p. online resource

CONTENT

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


SUBJECT

  1. Mathematics
  2. Mathematical analysis
  3. Analysis (Mathematics)
  4. Partial differential equations
  5. System theory
  6. Calculus of variations
  7. Probabilities
  8. Physics
  9. Mathematics
  10. Analysis
  11. Probability Theory and Stochastic Processes
  12. Theoretical
  13. Mathematical and Computational Physics
  14. Systems Theory
  15. Control
  16. Calculus of Variations and Optimal Control; Optimization
  17. Partial Differential Equations