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- catalog abstract "This 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 cases (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.".
- catalog contributor b10257847.
- catalog created "c1995.".
- catalog date "1995".
- catalog date "c1995.".
- catalog dateCopyrighted "c1995.".
- catalog description "Contents: Introduction -- Some Mathematical Preliminaries -- Ito Integrals -- Ito Processes and the Ito Formula -- 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.".
- catalog description "Includes bibliographical references (p. [252]-260) and index.".
- catalog description "This 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 cases (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.".
- catalog extent "xvi, 271 p. :".
- catalog hasFormat "Stochastic differential equations.".
- catalog identifier "0387602437 (New York : soft : acid-free paper)".
- catalog identifier "3540602437 (Berlin : soft : acid-free paper)".
- catalog isFormatOf "Stochastic differential equations.".
- catalog isPartOf "Universitext".
- catalog issued "1995".
- catalog issued "c1995.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer,".
- catalog relation "Stochastic differential equations.".
- catalog subject "519.2 20".
- catalog subject "Engineering mathematics.".
- catalog subject "Global analysis (Mathematics).".
- catalog subject "Mathematics.".
- catalog subject "QA274.23 .O47 1995".
- catalog subject "Stochastic differential equations.".
- catalog tableOfContents "Contents: Introduction -- Some Mathematical Preliminaries -- Ito Integrals -- Ito Processes and the Ito Formula -- 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.".
- catalog title "Stochastic differential equations : an introduction with applications / Bernt Øksendal.".
- catalog type "text".