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Stochastic Differential Equations. An Introduction With Applications, 5th Edition - Brossura

Oksendal, Bernt

 
9783540637202: Stochastic Differential Equations. An Introduction With Applications, 5th Edition
Brossura
ISBN 10: 3540637206 ISBN 13: 9783540637202
Casa editrice: Springer Verlag, 1998

Sinossi

This text 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, for example, economics, biology and physics. The 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 fifth edition is an extra chapter on applications to mathematical finance.

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Contenuti

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.

Product Description

1

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Editore
Springer Verlag
Data di pubblicazione
1998
Lingua
Inglese
ISBN 10 
3540637206
ISBN 13 
9783540637202
Rilegatura
Copertina flessibile
Numero edizione
5
Numero di pagine
330
Contatto del produttore
non disponibile
Persona responsabile
CMN Printpool Inh. Mathis Neumann
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