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Stochastic Differential Equations An Introduction with Applications

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ISBN-10: 3540047581

ISBN-13: 9783540047582

Edition: 6th 2003 (Revised)

Authors: Bernt �ksendal

List price: $59.99
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Book details

List price: $59.99
Edition: 6th
Copyright year: 2003
Publisher: Springer Berlin / Heidelberg
Publication date: 7/15/2003
Binding: Paperback
Pages: 379
Size: 6.10" wide x 9.25" long x 0.75" tall
Weight: 1.584
Language: English

Introduction
Some Mathematical Preliminaries
Ito Integrals
The Ito Formula and the Martingale Representation Theorem
Stochastic Differential Equations
The Filtering Problem
Diffusions: Basic Properties
Other Topics in Diffusion Theory
Applications to Boundary Value Problems
Application to Optimal Stopping
Application to Stochastic Control
Application to Mathematical Finance
Normal Random Variables
Conditional Expectation
Uniform Integrability and Martingale Convergence
An Approximation Result
Solutions and Additional Hints to Some of the Exercises
References
List of Frequently Used Notation and Symbols
Index