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Stochastic differential equations : an introduction with applications /
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presenta...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; New York :
Springer,
©1998.
|
| Edición: | 5th ed. |
| Colección: | Universitext.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Øksendal, B. K. |q (Bernt Karsten), |d 1945- |1 https://id.oclc.org/worldcat/entity/E39PBJmXMGGPDTJ7VGvVXKCqQq | |
| 245 | 1 | 0 | |a Stochastic differential equations : |b an introduction with applications / |c Bernt Øksendal. |
| 250 | |a 5th ed. | ||
| 260 | |a Berlin ; |a New York : |b Springer, |c ©1998. | ||
| 300 | |a 1 online resource (xix, 324 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Universitext | |
| 504 | |a Includes bibliographical references (pages 311-316) and index. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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. | |
| 520 | |a This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. The new feature of this 5th edition is an extra chapter on applications to mathematical finance. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stochastic differential equations. | |
| 650 | 6 | |a Équations différentielles stochastiques. | |
| 650 | 7 | |a Stochastic differential equations |2 fast | |
| 650 | 7 | |a Stochastische Differentialgleichung |2 gnd | |
| 650 | 1 | 7 | |a Stochastische differentiaalvergelijkingen. |2 gtt |
| 650 | 1 | 7 | |a Toepassingen. |2 gtt |
| 650 | 7 | |a Stochastische Differentialgleichung. |2 idsbb | |
| 650 | 7 | |a Analise estocastica. |2 larpcal | |
| 650 | 7 | |a Analise de series temporais. |2 larpcal | |
| 758 | |i has work: |a Stochastic differential equations (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGrMmcTBrqwBTXGWJ9MWwC |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Øksendal, B.K. (Bernt Karsten), 1945- |t Stochastic differential equations. |b 5th ed. |d Berlin ; New York : Springer, ©1998 |w (DLC) 98004563 |w (OCoLC)38474032 |
| 830 | 0 | |a Universitext. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3097703 |z Texto completo |
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