Stochastic Differential Equations: An Introduction with Applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1995
|
| Ausgabe: | Fourth Edition |
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | In this edition I have added some material which is particularlly useful for the applications, namely the martingale representation theorem (Chapter IV), the variational inequalities associated to optimal stopping problems (Chapter X) and stochastic control with terminal conditions (Chapter XI). In addition solutions and extra hints to some of the exercises are now included. Moreover, the proof and the discussion of the Girsanov theorem have been changed in order to make it more easy to apply, e.g. in economics. And the presentation in general has been corrected and revised throughout the text, in order to make the book better and more useful. During this work I have benefitted from valuable comments from several per sons, including Knut Aase, Sigmund Berntsen, Mark H. A. Davis, Helge Holden, Yaozhong Hu, Tom Lindstrom, Trygve Nilsen, Paulo Ruffino, Isaac Saias, Clint Scovel, Jan Uboe, Suleyman Ustunel, Qinghua Zhang, Tusheng Zhang and Vic tor Daniel Zurkowski. I am grateful to them all for their help. My special thanks go to Hakon Nyhus, who carefully read large portions of the manuscript and gave me a long list of improvements, as well as many other useful suggestions. Finally I wish to express my gratitude to Tove Moller and Dina Haraldsson, who typed the manuscript with impressive proficiency |
| Beschreibung: | 1 Online-Ressource (XVI, 271 p) |
| ISBN: | 9783662031858 9783540602439 |
| ISSN: | 0172-5939 |
| DOI: | 10.1007/978-3-662-03185-8 |
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Datensatz im Suchindex
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| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-662-03185-8 |
| edition | Fourth Edition |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662031858 9783540602439 |
| issn | 0172-5939 |
| language | English |
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| spelling | Øksendal, Bernt Verfasser aut Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal Fourth Edition Berlin, Heidelberg Springer Berlin Heidelberg 1995 1 Online-Ressource (XVI, 271 p) txt rdacontent c rdamedia cr rdacarrier Universitext 0172-5939 In this edition I have added some material which is particularlly useful for the applications, namely the martingale representation theorem (Chapter IV), the variational inequalities associated to optimal stopping problems (Chapter X) and stochastic control with terminal conditions (Chapter XI). In addition solutions and extra hints to some of the exercises are now included. Moreover, the proof and the discussion of the Girsanov theorem have been changed in order to make it more easy to apply, e.g. in economics. And the presentation in general has been corrected and revised throughout the text, in order to make the book better and more useful. During this work I have benefitted from valuable comments from several per sons, including Knut Aase, Sigmund Berntsen, Mark H. A. Davis, Helge Holden, Yaozhong Hu, Tom Lindstrom, Trygve Nilsen, Paulo Ruffino, Isaac Saias, Clint Scovel, Jan Uboe, Suleyman Ustunel, Qinghua Zhang, Tusheng Zhang and Vic tor Daniel Zurkowski. I am grateful to them all for their help. My special thanks go to Hakon Nyhus, who carefully read large portions of the manuscript and gave me a long list of improvements, as well as many other useful suggestions. Finally I wish to express my gratitude to Tove Moller and Dina Haraldsson, who typed the manuscript with impressive proficiency Mathematics Global analysis (Mathematics) Engineering mathematics Analysis Theoretical, Mathematical and Computational Physics Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 s 1\p DE-604 https://doi.org/10.1007/978-3-662-03185-8 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Øksendal, Bernt Stochastic Differential Equations An Introduction with Applications Mathematics Global analysis (Mathematics) Engineering mathematics Analysis Theoretical, Mathematical and Computational Physics Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| subject_GND | (DE-588)4057621-8 |
| title | Stochastic Differential Equations An Introduction with Applications |
| title_auth | Stochastic Differential Equations An Introduction with Applications |
| title_exact_search | Stochastic Differential Equations An Introduction with Applications |
| title_full | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_fullStr | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_full_unstemmed | Stochastic Differential Equations An Introduction with Applications by Bernt Øksendal |
| title_short | Stochastic Differential Equations |
| title_sort | stochastic differential equations an introduction with applications |
| title_sub | An Introduction with Applications |
| topic | Mathematics Global analysis (Mathematics) Engineering mathematics Analysis Theoretical, Mathematical and Computational Physics Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| topic_facet | Mathematics Global analysis (Mathematics) Engineering mathematics Analysis Theoretical, Mathematical and Computational Physics Appl.Mathematics/Computational Methods of Engineering Mathematik Stochastische Differentialgleichung |
| url | https://doi.org/10.1007/978-3-662-03185-8 |
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