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Stochastic Differential Equations: An Introduction with Applications de Bernt Øksendal

Stochastic Differential Equations: An Introduction with Applications: Universitext

Autor Bernt Øksendal
en Limba Engleză Paperback – 15 iul 2003
Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many applications in for example economics, biology and physics.
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Specificații

ISBN-13: 9783540047582
ISBN-10: 3540047581
Pagini: 414
Ilustrații: XXVII, 379 p.
Dimensiuni: 155 x 235 x 25 mm
Greutate: 0.58 kg
Ediția:6th ed. 2003
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Universitext

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Lower undergraduate

Cuprins

Some Mathematical Preliminaries.- Itô Integrals.- The 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.- Application to Optimal Stopping.- Application to Stochastic Control.- Application to Mathematical Finance.

Recenzii

From the reviews of the fifth edition:
"This is a highly readable and refreshingly rigorous introduction to stochastic calculus. … This is not a watered-down treatment. It is a serious introduction that starts with fundamental measure-theoretic concepts and ends, coincidentally, with the Black-Scholes formula as one of several examples of applications. This is the best single resource for learning the stochastic calculus … ." (riskbook.com, 2002)
From the reviews of the sixth edition:
"The book … has evolved from a 200-page typewritten booklet to a modern classic. Part of its charm and success is the fact that the author does not bother too much with the (for the novice) cumbersome rigorous theory … . This does not mean that the book is not rigorous, it is just the timing and dosage of mathematical rigour … that is palatable for undergraduates … . a highly readable account, suitable for self-study and for use in the classroom." (René L. Schilling, The Mathematical Gazette, March, 2005)
"This is the sixth edition of the classical and excellent book on stochastic differential equations. The main difference with the next to last edition is the addition of detailed solutions of selected exercises … . This is certainly an excellent idea in view to test its ability of applications of the concepts … . certainly one of the best books on the subject, it will be very helpful to any graduate students and also very valuable for any analysts of financial market." (Stéphane Métens, Physicalia, Vol. 26 (1), 2004)
"This is now the sixth edition of the excellent book on stochastic differential equations and related topics. … the presentation is successfully balanced between being easily accessible for a broad audience and being mathematically rigorous. The book is a first choice for courses at graduate level in applied stochastic differential equations. The inclusion of detailed solutions to many of theexercises in this edition also makes it very useful for self-study." (Evelyn Buckwar, Zentralblatt MATH, Vol. 1025, 2003)

Caracteristici

This well-established textbook on stochastic differential equations has turned out to be very useful to non-specialists of the subject and has sold steadily in 5 editions, both in the EU and US market Includes supplementary material: sn.pub/extras