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Stochastic differential equations : an introduction with applications

Author: B K Øksendal
Publisher: Berlin ; New York : Springer, 2007.
Series: Universitext
Edition/Format:   Print book : English : 6th ed., corrView all editions and formats
Summary:

Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: B K Øksendal
ISBN: 3540047581 9783540047582
OCLC Number: 166267310
Description: xxix, 369 pages : illustrations ; 24 cm.
Contents: Some Mathematical Preliminaries.- Ito Integrals.- The Ito 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.- Application to Optimal Stopping.- Application to Stochastic Control.- Application to Mathematical Finance.
Series Title: Universitext
Responsibility: Bernt Øksendal.
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From the reviews of the fifth edition:"This is a highly readable and refreshingly rigorous introduction to stochastic calculus. ... This is not a watered-down treatment. It is a serious introduction Read more...

 
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