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Stochastic differential equations : an introduction with applications / Bernt Oksendal.

By: Material type: TextTextSeries: UniversitextPublication details: Berlin : Springer, 2005.Edition: 6a. edDescription: xxvii; 365 p. : gráf. ; 23 cmContent type:
  • texto
Media type:
  • sin mediación
Carrier type:
  • volumen
ISBN:
  • 9783540256625
Subject(s):
Contents:
1. Introduction 2. Some mathematical preliminaries 3. Ito integrals 4. The ito formula and the martingale representation theorem 5. Stochastic differentail equations 6. The filtering problem 7. Diffusions: basic propierties 8. Other topics in diffusion theory 9. Applications to boundary value problems 10. Applications to optimal stopping 11. Application to stochastic control 12. Application to mathematical finance.
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Holdings
Item type Current library Collection Call number Status Date due Barcode
Libros Libros Facultad Regional Concepción del Uruguay mat.bas. 517.9 ; O 46 ; 11665 (Browse shelf(Opens below)) Available (2) 11665

Indice alfabético: p. 361-365.

Lista de notaciones y símbolos de uso frecuente.

Apéndices: p. 305-348.

Referencia bibliográfica: p. 349-356.

1. Introduction 2. Some mathematical preliminaries 3. Ito integrals 4. The ito formula and the martingale representation theorem 5. Stochastic differentail equations 6. The filtering problem 7. Diffusions: basic propierties 8. Other topics in diffusion theory 9. Applications to boundary value problems 10. Applications to optimal stopping 11. Application to stochastic control 12. Application to mathematical finance.

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