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· 제목 : Stochastic Differential Equations: An Introduction with Applications (Paperback, 6, Softcover Repri)
· 분류 : 외국도서 > 과학/수학/생태 > 수학 > 확률과 통계 > 일반
· ISBN : 9783540047582
· 쪽수 : 379쪽
· 출판일 : 2003-07-15
· 분류 : 외국도서 > 과학/수학/생태 > 수학 > 확률과 통계 > 일반
· ISBN : 9783540047582
· 쪽수 : 379쪽
· 출판일 : 2003-07-15
목차
Some Mathematical Preliminaries.- Ito Integrals.- The Ito 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.
