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Stochastic Differential Equations : an Introduction with Applications

Author: Bernt Øksendal
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1995.
Series: Universitext.
Edition/Format:   eBook : Document : English : Fourth editionView all editions and formats
Summary:
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  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bernt Øksendal
ISBN: 9783662031858 366203185X
OCLC Number: 851379902
Description: 1 online resource (xvi, 271 pages).
Contents: Introduction --
Some Mathematical Preliminaries --
Ito Integrals --
Ito Processes and the Ito Formula --
Stochastic Differential Equations --
The Filtering Problem --
Diffusions: Basic Properties --
Other Topics in Diffusion Theory --
Applications to Boundary Value Problems --
Application to Optimal Stopping --
Application to Stochastic Control.
Series Title: Universitext.
Responsibility: by Bernt Øksendal.

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 cases (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.

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