Details

Autor(en) / Beteiligte

• Øksendal, Bernt

Titel

Stochastic Differential Equations : An Introduction with Applications [Elektronische Ressource]

Ist Teil von

• Universitext

Auflage

Fourth Edition

Ort / Verlag

Berlin, Heidelberg : Springer Berlin Heidelberg

Erscheinungsjahr

1995

Link zum Volltext

• Volltext

Link zu anderen Inhalten

• Volltext

Beschreibungen/Notizen

• 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 persons, 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 Victor 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