Bernt Øksendal
Stochastic differential equations : an introduction with applications - 6th ed. - New York: Springer, [c2011] - 324 p - Universitext .
1. Introduction
2. Some Mathematical Preliminaries
3. Itô Integrals
4. The Itô 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
978-3-540-04758-2
Mathematics
QA274.23
Stochastic differential equations : an introduction with applications - 6th ed. - New York: Springer, [c2011] - 324 p - Universitext .
1. Introduction
2. Some Mathematical Preliminaries
3. Itô Integrals
4. The Itô 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
978-3-540-04758-2
Mathematics
QA274.23