Stochastic Differential Equations [electronic resource] : An Introduction with Applications / by Bernt รksendal

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

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

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