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  • Textbook
  • © 1995

Stochastic Differential Equations

An Introduction with Applications

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Part of the book series: Universitext (UTX)

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Table of contents (11 chapters)

  1. Front Matter

    Pages I-XVI
  2. Introduction

    • Bernt Øksendal
    Pages 1-4
  3. Some Mathematical Preliminaries

    • Bernt Øksendal
    Pages 5-17
  4. Ito Integrals

    • Bernt Øksendal
    Pages 18-39
  5. Ito Processes and the Ito Formula

    • Bernt Øksendal
    Pages 40-58
  6. Stochastic Differential Equations

    • Bernt Øksendal
    Pages 59-74
  7. The Filtering Problem

    • Bernt Øksendal
    Pages 75-102
  8. Diffusions: Basic Properties

    • Bernt Øksendal
    Pages 103-123
  9. Other Topics in Diffusion Theory

    • Bernt Øksendal
    Pages 124-159
  10. Applications to Boundary Value Problems

    • Bernt Øksendal
    Pages 160-182
  11. Application to Optimal Stopping

    • Bernt Øksendal
    Pages 183-211
  12. Application to Stochastic Control

    • Bernt Øksendal
    Pages 212-235
  13. Back Matter

    Pages 236-271

Authors and Affiliations

  • Department of Mathematics, University of Oslo, Blindern, Oslo, Norway

    Bernt Øksendal

Bibliographic Information

Buy it now

Buying options

eBook USD 74.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access