| 书目名称 | Stochastic Differential Equations |
| 副标题 | An Introduction with |
| 编辑 | Bernt Øksendal |
| 视频video | |
| 概述 | This 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 4 editions, both in the EU and US market |
| 丛书名称 | Universitext |
| 图书封面 |  |
| 描述 | The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on applications to mathematical finance. I found it natural to include this material as another major application of stochastic analysis, in view of the amazing development in this field during the last 10-20 years. Moreover, the close contact between the theoretical achievements and the applications in this area is striking. For example, today very few firms (if any) trade with options without consulting the Black & Scholes formula! The first 11 chapters of the book are not much changed from the previous edition, but I have continued my efforts to improve the presentation through out and correct errors and misprints. Some new exercises have been added. Moreover, to facilitate the use of the book each chapter has been divided into subsections. If one doesn‘t want (or doesn‘t have time) to cover all the chapters, then one can compose a course by choosing subsections from the chapters. The chart below indicates what material depends on which sections. Chapter 6 Chapter IO Chapter 12 For example, to cover the first two sections of the new chapter 12 it is recom mended that one (at least) covers C |
| 出版日期 | Textbook 19985th edition |
| 关键词 | Boundary value problem; Differential Equations; Equations; Martingale; Optimal Filtering; Random variable |
| 版次 | 5 |
| doi | https://doi.org/10.1007/978-3-662-03620-4 |
| isbn_ebook | 978-3-662-03620-4Series ISSN 0172-5939 Series E-ISSN 2191-6675 |
| issn_series | 0172-5939 |
| copyright | Springer-Verlag Berlin Heidelberg 1998 |
发表于 2025-3-21 17:33:57
