Author | รksendal, Bernt. author |
---|---|
Title | Stochastic Differential Equations [electronic resource] : An Introduction with Applications / by Bernt รksendal |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003 |
Connect to | http://dx.doi.org/10.1007/978-3-642-14394-6 |
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