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＜電子ブック＞
Stochastic Differential Equations : An Introduction with Applications / by Bernt Oksendal
(Universitext. ISSN:21916675)

版	4th ed. 1995.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	1995
大きさ	XVI, 271 p : online resource
著者標目	*Oksendal, Bernt author SpringerLink (Online service)
件　名	LCSH:Mathematical analysis LCSH:Mathematical physics LCSH:Engineering mathematics LCSH:Engineering—Data processing FREE:Analysis FREE:Theoretical, Mathematical and Computational Physics FREE:Mathematical and Computational Engineering Applications
一般注記	I. Introduction -- II. Some Mathematical Preliminaries -- III. Ito Integrals -- IV. Ito Processes 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 -- Solutions and additional hints to some of the exercises -- List of Frequently Used Notation and Symbols HTTP:URL=https://doi.org/10.1007/978-3-662-03185-8

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