Stochastic Differential Equations

An Introduction with Applications

  • Bernt Øksendal

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Bernt Øksendal
    Pages 1-4
  3. Bernt Øksendal
    Pages 5-17
  4. Bernt Øksendal
    Pages 18-39
  5. Bernt Øksendal
    Pages 40-58
  6. Bernt Øksendal
    Pages 59-74
  7. Bernt Øksendal
    Pages 75-102
  8. Bernt Øksendal
    Pages 103-123
  9. Bernt Øksendal
    Pages 124-159
  10. Bernt Øksendal
    Pages 160-182
  11. Bernt Øksendal
    Pages 183-211
  12. Bernt Øksendal
    Pages 212-235
  13. Back Matter
    Pages 236-271

About this book

Keywords

Equations Stochastic Control boundary value problem calculus convergence differential equation diffusion filtering filtering theory integral optimal stopping solution stochastic analysis stochastic calculus stochastic differential equation

Authors and affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloBlindern, OsloNorway

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-03185-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 1995
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-60243-9
  • Online ISBN 978-3-662-03185-8
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • About this book