Stochastic differential equations : an introduction with applications /
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| Author / Creator: | Øksendal, B. K. (Bernt Karsten), 1945- |
|---|---|
| Edition: | 5th ed. |
| Imprint: | Berlin ; New York : Springer, c1998. |
| Description: | xix, 324 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Universitext |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/3301644 |
Table of Contents:
- 1. Introduction
- 2. Some Mathematical Preliminaries
- 3. Ito Integrals
- 4. The Ito Formula and the Martingale Representation Theorem
- 5. Stochastic Differential Equations
- 6. The Filtering Problem
- 7. Diffusions: Basic Properties
- 8. Other Topics in Diffusion Theory
- 9. Applications to Boundary Value Problems
- 10. Application to Optimal Stopping
- 11. Application to Stochastic Control
- 12. Application to Mathematical Finance
- App. A. Normal Random Variables
- App. B. Conditional Expectation
- App. C. Uniform Integrability and Martingale Convergence
- App. D. An Approximation Result
- Solutions and Additional Hints to Some of the Exercises.
