Stochastic differential equations : an introduction with applications

By: Bernt ØksendalMaterial type: TextTextSeries: UniversitextPublication details: New York: Springer, [c2011]Edition: 6th edDescription: 324 pISBN: 978-3-540-04758-2Subject(s): MathematicsLOC classification: QA274.23
Contents:
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
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Item type Current library Collection Shelving location Call number Status Notes Date due Barcode Item holds
Book Book ICTS
Physics Rack No 11 QC274.23 (Browse shelf (Opens below)) Available Invoice no. IN 980 ; Date 22-10-2019 02219
Total holds: 0

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

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