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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 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. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. This corrected 6th printing of the 6th edition contains additional corrections and useful improvements, based in part on helpful comments from the readers.".
- catalog contributor b13017726.
- catalog created "c2003.".
- catalog date "2003".
- catalog date "c2003.".
- catalog dateCopyrighted "c2003.".
- catalog description "Includes bibliographical references (p. [345]-351) and index.".
- catalog description "Introduction -- Some Mathematical Preliminaries -- Itô Integrals -- Itô 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.".
- 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 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. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. This corrected 6th printing of the 6th edition contains additional corrections and useful improvements, based in part on helpful comments from the readers.".
- catalog extent "xxiii, 360 p. :".
- catalog identifier "3540047581 (softcover : alk. paper)".
- catalog isPartOf "Universitext".
- catalog isPartOf "Universitext.".
- catalog issued "2003".
- catalog issued "c2003.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer,".
- catalog subject "519.2 21".
- catalog subject "Differential equations, partial.".
- catalog subject "Distribution (Probability theory).".
- catalog subject "Economics.".
- catalog subject "Mathematics.".
- catalog subject "QA274.23 .O47 2003".
- catalog subject "Stochastic differential equations.".
- catalog subject "Systems theory.".
- catalog tableOfContents "Introduction -- Some Mathematical Preliminaries -- Itô Integrals -- Itô 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.".
- catalog title "Stochastic differential equations : an introduction with applications / Bernt Øksendal.".
- catalog type "text".