Stochastic Differential Equations

An Introduction with Applications

  • Bernt Øksendal

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Bernt Øksendal
    Pages 1-4
  3. Bernt Øksendal
    Pages 5-12
  4. Bernt Øksendal
    Pages 13-27
  5. Bernt Øksendal
    Pages 28-34
  6. Bernt Øksendal
    Pages 35-45
  7. Bernt Øksendal
    Pages 46-68
  8. Bernt Øksendal
    Pages 69-83
  9. Bernt Øksendal
    Pages 84-106
  10. Bernt Øksendal
    Pages 107-124
  11. Bernt Øksendal
    Pages 125-147
  12. Bernt Øksendal
    Pages 148-163
  13. Back Matter
    Pages 164-188

About this book


From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications... The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2


Brownian motion Differential Equations Equations Optimal Filtering Stochastic Control Stochastic calculus application applications calculus dynamical systems dynamische Systeme filtering theory mathematical finance optimal stopping stochasti

Authors and affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloBlindern, Oslo 3Norway

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1989
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-51740-5
  • Online ISBN 978-3-662-02574-1
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site