Stochastic differential equations : an introduction with applications
Author(s)
Bibliographic Information
Stochastic differential equations : an introduction with applications
（Universitext）
Springer, c1995
4th ed
- : gw
- : us
Available at / 44 libraries
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Hokkaido University, Library, Graduate School of Science, Faculty of Science and School of Science図書
: gw519.2/OK62070349968
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Note
Includes bibliographical references (p. [252]-260) and index
Description and Table of Contents
Description
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 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.
Table of Contents
- Stochastic integrals
- Ito=B4s formula
- stochastic differential equations
- martingales
- filtering theory
- Ito diffusions and the Markov property
- ther Girsanov theorem
- stochastic solution of boundary value problems
- optimal stopping and stochastic control. (Part contents).
by "Nielsen BookData"