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" Stochastic Differential Equations : "
by Bernt Øksendal.
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BL
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759310
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b579281
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| Main Entry
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by Bernt Øksendal.
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| Title & Author
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Stochastic Differential Equations : : an Introduction with Applications\ by Bernt Øksendal.
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| Edition Statement
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Fourth edition
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| Publication Statement
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Berlin, Heidelberg : Springer Berlin Heidelberg, 1995
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| Series Statement
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Universitext.
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| Page. NO
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(xvi, 271 pages)
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| ISBN
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366203185X
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: 9783662031858
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| Contents
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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.
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| Abstract
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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 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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Engineering mathematics.
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Global analysis (Mathematics)
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Mathematics.
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| Added Entry
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Bernt Øksendal
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