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Field name	Details
Dewey Class	519.2
Title	Stochastic Differential Equations ([EBook]) : An Introduction with Applications / by Bernt Øksendal.
Author	Øksendal, B. K.(Bernt Karsten) , 1945-
Other name(s)	SpringerLink (Online service)
Edition statement	Third Edition.
Publication	Berlin, Heidelberg : Springer , 1992.
Physical Details	XIII, 228 pages, 3 illus. : online resource.
Series	Universitext 0172-5939
ISBN	9783662028476
Summary Note	From the reviews to the first edition: Most of the literature about stochastic differential equations seems to place so much emphasis on rigor and completeness that it scares the nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view.: Not knowing anything ... about a subject to start with, what would I like to know first of all. My answer would be: 1) In what situations does the subject arise ? 2) What are its essential features? 3) What are the applications and the connections to other fields?" The author, a lucid mind with a fine pedagocical instinct, has written a splendid text that achieves his aims set forward above. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how thetheory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respectto Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications"... It can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about. From: Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986.:
Contents note	I. Introduction -- II. Some Mathematical Preliminaries -- III. Ito Integrals -- IV. Stochastic Integrals and the Ito Formula -- V. Stochastic Differential Equations -- VI. The Filtering Problem -- VII. Diffusions: Basic Properties -- VIII. Other Topics in Diffusion Theory -- IX. Applications to Boundary Value Problems -- X. Application to Optimal Stopping -- XI Application to Stochastic Control -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectations -- Appendix C: Uniform Integrability and Martingale Convergence -- List of Frequently Used Notation and Symbols.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-662-02847-6
Links to Related Works	Subject References: Analysis . Analysis (Mathematics) . Calculus of variations . Calculus of variations and optimal control; optimization . Mathematical analysis . Probabilities . Stochastic differential equations . System theory . Systems Theory, Control . Authors: Øksendal, B. K.(Bernt Karsten) 1945- . Corporate Authors: SpringerLink (Online service) . Series: Universitext . Classification: 519.2 .

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Stochastic Differential Equations: An Introduction with Applications

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