Stochastic Differential Equations
An Introduction with Applications
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Beschreibung
The book contains a detailed and elementary discussion of Ito integrals and stochastic differential equations. Applications include: Linear filtering theory, diffusion processes, partial differential equations (boundary value problems), optimal stopping, stochastic control. Throughout the text examples are provided to illustrate the content of the results.
Autor*in
Bernt Oksendal
Themen in »Stochastic Differential Equations«
Brownian motion Differential Equations Equations Optimal Filtering Stochastic Control Stochastic calculus application applications calculus differential equation filtering theory mathematical finance optimal stopping stoc stochastic analysis