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Stochastic differential equations : an introduction with applications

Author: B K Øksendal
Publisher: Berlin ; New York : Springer, ©2003.
Series: Universitext.
Edition/Format:   Print book : Document   Computer File : English : 6th edView 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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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Book, Computer File, Internet Resource
All Authors / Contributors: B K Øksendal
ISBN: 3540047581 9783540047582 3540256628 9783540256625
OCLC Number: 52203046
Description: xxiii, 360 pages : illustrations ; 24 cm.
Contents: Introduction --
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.
More information:

Abstract:

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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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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