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| 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, 1995 |
| Edition | Fourth Edition |
| Connect to | http://dx.doi.org/10.1007/978-3-662-03185-8 |
| Descript | XVI, 271 p. online resource |
I. Introduction -- II. Some Mathematical Preliminaries -- III. Ito Integrals -- IV. Ito Processes and the Ito Formula -- V. Stochastic Differential Equations -- VI. The Filtering Problem -- VII. Diffusions: Basic Properties -- VIII. Other Topics in Diffusion Theory -- IX. Applications to Boundary Value Problems -- X. Application to Optimal Stopping -- XI. Application to Stochastic Control -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectations -- Appendix C: Uniform Integrability and Martingale Convergence -- Solutions and additional hints to some of the exercises -- List of Frequently Used Notation and Symbols
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