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Stochastic Differential Equations: An Introduction with Applications.
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1987
Year
EngineeringStochastic ProcessesIto FormulaStochastic CalculusStochastic Differential EquationStochastic Dynamical SystemStochastic SystemStochastic AnalysisStochastic SystemsStochastic ControlFiltering Problem.- DiffusionsFinanceStochastic Differential EquationsStochastic Modeling
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.