Stochastic Differential Equations: An Introduction with Applications / Edition 6

Stochastic Differential Equations: An Introduction with Applications / Edition 6

by Bernt ?ksendal
     
 

ISBN-10: 3540047581

ISBN-13: 9783540047582

Pub. Date: 01/31/2014

Publisher: Springer Berlin Heidelberg

This book gives 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 e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the

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Overview

This book gives 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 e.g. 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 case (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. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided.

Product Details

ISBN-13:
9783540047582
Publisher:
Springer Berlin Heidelberg
Publication date:
01/31/2014
Series:
Universitext Series
Edition description:
Softcover reprint of the original 6th ed. 2003
Pages:
374
Sales rank:
486,370
Product dimensions:
6.10(w) x 9.25(h) x 0.36(d)

Table of Contents

Some Mathematical Preliminaries.- Itô Integrals.- The Itô Formula and the Martingale Representation Theorem.- Shastic Differential Equations.- The Filtering Problem.- Diffusions: Basic Properties.- Other Topics in Diffusion Theory.- Applications to Boundary Value Problems.- Application to Optimal Stopping.- Application to Shastic Control.- Application to Mathematical Finance.

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