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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Øksendal, B. K. (Bernt Karsten), 1945-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; New York : Springer, ©1998.
Edición:5th ed.
Colección:Universitext.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.