Stochastic differential equations : an introduction with applications / Bernt Øksendal.

Author
Øksendal, B. K. (Bernt Karsten), 1945- [Browse]
Format
Book
Language
English
Εdition
4th ed.
Published/​Created
Berlin ; New York : Springer, ©1995.
Description
xvi, 271 pages : illustrations ; 24 cm.

Availability

Copies in the Library

Location Call Number Status Location Service Notes
ReCAP - Remote StorageQA274.23 .O47 1995 Browse related items Request

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    Subject(s)
    Series
    Universitext [More in this series]
    Summary note
    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.
    Bibliographic references
    Includes bibliographical references (p. [252]-260) and index.
    Contents
    • 1. Introduction
    • 2. Some mathematical preliminaries
    • 3. Ito integrals
    • 4. Ito processes and the Ito formula
    • 5. Stochastic differential equations
    • 6. The filtering problem
    • 7. Diffusions: basic properties
    • 8. Other topics in diffusion theory
    • 9. Applications to boundary value problems
    • 10. Applications to optimal stopping
    • 11. Applications to stochastic control
    • Appendix A. Normal random variables
    • Appendix B. Conditional expectations
    • Appendix C. Uniform integrability and Martingale convergences.
    ISBN
    • 3540602437 ((Berlin ; : soft ; : acid-free paper))
    • 9783540602439 ((Berlin ; : soft ; : acid-free paper))
    • 0387602437 ((New York ; : soft ; : acid-free paper))
    • 9780387602431 ((New York ; : soft ; : acid-free paper))
    LCCN
    95037627
    OCLC
    32968575
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