- Book
- xxix, 369 p. : ill. ; 24 cm.
- Introduction.- Some Mathematical Preliminaries.- Ito Integrals.- 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.- 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.- Appendix D: An Approximation Result.- Solutions and Additional Hints to Some of the Exercises.- References.- List of Frequently Used Notation and Symbols.- Index.
- (source: Nielsen Book Data)9783540047582 20160528
(source: Nielsen Book Data)9783540047582 20160528
- Introduction.- Some Mathematical Preliminaries.- Ito Integrals.- 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.- 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.- Appendix D: An Approximation Result.- Solutions and Additional Hints to Some of the Exercises.- References.- List of Frequently Used Notation and Symbols.- Index.
- (source: Nielsen Book Data)9783540047582 20160528
(source: Nielsen Book Data)9783540047582 20160528
Science Library (Li and Ma)
Science Library (Li and Ma) | Status |
---|---|
Stacks | |
QA274.23 .O47 2007 | Unknown On reserve at Li and Ma Science Library 2-hour loan |
MATH-236-01
- Course
- MATH-236-01 -- Introduction to Stochastic Differential Equations
- Instructor(s)
- Papanicolaou, George C.