rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Stochastic Differential Equations
    sub title: an Introduction with Applications
  name:
    name part: Øksendal, Bernt.
    role:
      role term: creator
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  genre: Electronic books.
  origin info:
    place:
      place term: gw
    date issued: 1998
    edition: Fifth edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    reformatting quality: access
    form: remote
    extent: 1 online resource (xix, 324 pages)
  abstract: 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.
  table of contents: Introduction -- Some Mathematical Preliminaries -- Ito Integrals -- Ito Processes and the Ito Formula -- Stochastic Differential Equations -- The Filtering Problem -- Diffusions: Basic Problems -- 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 -- Solutions and Additional Hints to Some of the Exercises -- Bibliography -- List of Frequently Used Notation and Symbols -- Index.
  note: by Bernt Øksendal.
  note: Electronic resource.
  subject:
    topic: Mathematics
  subject:
    topic: Differential equations, Partial
  subject:
    topic: System theory
  subject:
    topic: Mathematical optimization
  subject:
    topic: Distribution (Probability theory)
  classification: QA273.A1-274.9
  classification: QA274-274.9
  classification: 519.2
  related item:
    title info:
      title: Universitext
  identifier: 9783662036204 (electronic bk.)
  identifier: 3662036207 (electronic bk.)
  identifier: 9783540637202
  identifier: 3540637206
  identifier: 3662036207
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: AU@
    record creation date: 130125
    record change date: 20260423141558.5
    record identifier: in00003570006
    language of cataloging:
      language term: eng