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Stochastic differential equations : an introduction with applications /

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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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Bibliographic Details
Main Author: Øksendal, B. K. (Bernt Karsten), 1945-
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin ; New York : Springer, [2003]
Edition:6th ed.
Series:Universitext
Subjects:
Stochastic differential equations.
Équations différentielles stochastiques.
Stochastische differentiaalvergelijkingen.
Análise estocastica.
Stochastische Differentialgleichung.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Introduction
  • Some Mathematical Preliminaries
  • It Integrals
  • It 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
  • Applications to Optimal Stopping
  • Application to Stochastic Control
  • Application to Mathematical Finance
  • Appendix A: Normal Random Variables
  • Appendix B: Conditional Expectations
  • 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.