Stochastic differential equations : an introduction with applications
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| Main Author | |
|---|---|
| Format | eBook Book |
| Language | English |
| Published |
Berlin ; New York
Springer
2000
Springer Berlin / Heidelberg |
| Edition | 5 |
| Subjects | |
| Online Access | Get full text |
| ISBN | 9783540637202 3540637206 |
| DOI | 10.1007/978-3-642-14394-6 |
Cover
| Author | Øksendal, Bernt Karsten |
|---|---|
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| DOI | 10.1007/978-3-642-14394-6 |
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| Discipline | Mathematics Statistics |
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| Edition | 5 |
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| Notes | Includes bibliographical references (p. [313]-318) and index "Corrected second printing 2000"--T.p. verso |
| OCLC | 936316489 |
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| PublicationCentury | 2000 |
| PublicationDate | 2000,c1998 2000 |
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| PublicationPlace | Berlin ; New York |
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| PublicationYear | 2000 |
| Publisher | Springer Springer Berlin / Heidelberg |
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| SubjectTerms | Stochastic differential equations |
| TableOfContents | Universitext -- Stochastic Differential Equations An Introduction with Applications Fifth Edition -- Copyright -- Preface to the Fifth Edition -- Preface to the Fourth Edition -- Preface to the Third Edition -- Preface to the Second Edition -- Preface to the First Edition -- Table of Contents -- 1. Introduction -- 2. Some Mathematical Preliminaries -- 3. Ito Integrals -- 4. The Ito Formula and the Martingale Representation Theorem -- 5. Stochastic Differential Equations -- 6. The Filtering Problem -- 7. Diffusions: Basic Properties -- 8. Other Topics in Diffusion Theory -- 9. Applications to Boundary Value Problems -- 10. Application to Optimal Stopping -- 11. Application to Stochastic Control -- 12. Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectation -- Appendix C: Uniform Integrability and Martingale Convergence -- Appendix D: An Approximation Result -- Solutions and Additional Hints to Some of the Exercises -- References -- List of Frequently Used Notation and Symbols -- Index |
| Title | Stochastic differential equations : an introduction with applications |
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