Stochastic Differential Equations

An Introduction with Applications

  • Bernt Øksendal

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XXXI
  2. Bernt Øksendal
    Pages 1-5
  3. Bernt Øksendal
    Pages 7-20
  4. Bernt Øksendal
    Pages 21-42
  5. Bernt Øksendal
    Pages 65-84
  6. Bernt Øksendal
    Pages 85-114
  7. Bernt Øksendal
    Pages 115-140
  8. Bernt Øksendal
    Pages 141-180
  9. Bernt Øksendal
    Pages 181-211
  10. Bernt Øksendal
    Pages 213-242
  11. Bernt Øksendal
    Pages 243-268
  12. Bernt Øksendal
    Pages 269-313
  13. Back Matter
    Pages 315-379

About this book

Keywords

Boundary value problem Martingale Random variable Stochastic calculus Uniform integrability differential equations filtering problem filtering theory linear optimization mathematical finance optimal filtering stochastic control stochastic differential equations

Authors and affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloOsloNorway

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-14394-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-04758-2
  • Online ISBN 978-3-642-14394-6
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • About this book