Titlebook: Stochastic Differential Equations; An Introduction with Bernt Øksendal Textbook 2003Latest edition Springer-Verlag Berlin Heidelberg 2003 B

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The Filtering Problem,Problem 3 in the introduction is a special case of the following general ..

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Other Topics in Diffusion Theory,In this chapter we study some other important topics in diffusion theory and related areas. Some of these topics are not strictly necessary for the remaining chapters, but they are all central in the theory of stochastic analysis and essential for further applications.

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Applications to Boundary Value Problems,We now use results from the preceding chapters to solve the following generalization of the Dirichlet problem stated in the introduction.

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Application to Optimal Stopping,Problem 5 in the introduction is a special case of a problem of the following type.

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Application to Stochastic Control,Suppose that the state of a system at time . is described by an Itô process .. of the form.

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Bernt ØksendalThis well-established textbook on stochastic differential equations has turned out to be very useful to non-specialists of the subject and has sold steadily in 5 editions, both in the EU and US market

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Pessary

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