Stochastic Differential Equantions
Oksendal, Bernt
Stochastic Differential Equantions - 2005 - 361 páginas 1 CD-ROM
1. Introducction 2. Some mathematical preliminares 3. Ito Integrals 4. The Ito formula and the martingale representation theorem 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. Application to optimal stopping 11. Application to stochastic control
fcnm1840
515.35/O21
Stochastic Differential Equantions - 2005 - 361 páginas 1 CD-ROM
1. Introducction 2. Some mathematical preliminares 3. Ito Integrals 4. The Ito formula and the martingale representation theorem 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. Application to optimal stopping 11. Application to stochastic control
fcnm1840
515.35/O21