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LEADER: 03116nam a22005295a 4500
001 013842569-8
005 20131206203017.0
008 130125s1998 gw | s ||0| 0|eng d
020 $a9783662036204
020 $a9783662036204
020 $a9783540637202
024 7 $a10.1007/978-3-662-03620-4$2doi
035 $a(Springer)9783662036204
040 $aSpringer
050 4 $aQA273.A1-274.9
050 4 $aQA274-274.9
072 7 $aPBT$2bicssc
072 7 $aPBWL$2bicssc
072 7 $aMAT029000$2bisacsh
082 04 $a519.2$223
100 1 $aØksendal, Bernt,$eauthor.
245 10 $aStochastic Differential Equations :$bAn Introduction with Applications /$cby Bernt Øksendal.
250 $aFifth Edition.
264 1 $aBerlin, Heidelberg :$bSpringer Berlin Heidelberg :$bImprint: Springer,$c1998.
300 $aXIX, 324 p.$bonline resource.
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
347 $atext file$bPDF$2rda
490 1 $aUniversitext,$x0172-5939
505 0 $aIntroduction -- Some Mathematical Preliminaries -- Ito Integrals -- Ito Processes and the Ito Formula -- Stochastic Differential Equations -- The Filtering Problem -- Diffusions: Basic Problems -- Other Topics in Diffusion Theory -- Applications to Boundary Value Problems -- Applications to Optimal Stopping -- Application to Stochastic Control -- Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectations -- Appendix C: Uniform Integrability and Martingale Convergence -- Solutions and Additional Hints to Some of the Exercises -- Bibliography -- List of Frequently Used Notation and Symbols -- Index.
520 $aThis book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. The new feature of this 5th edition is an extra chapter on applications to mathematical finance.
650 20 $aDifferential equations, Partial.
650 10 $aMathematics.
650 0 $aDistribution (Probability theory)
650 0 $aSystem theory.
650 0 $aMathematics.
650 0 $aDifferential equations, partial.
650 0 $aMathematical optimization.
650 24 $aProbability Theory and Stochastic Processes.
650 24 $aTheoretical, Mathematical and Computational Physics.
650 24 $aSystems Theory, Control.
650 24 $aCalculus of Variations and Optimal Control; Optimization.
776 08 $iPrinted edition:$z9783540637202
830 0 $aUniversitext.
988 $a20131119
906 $0VEN