Titlebook: Stochastic Differential Equations; An Introduction with Bernt Øksendal Textbook 19985th edition Springer-Verlag Berlin Heidelberg 1998 Boun

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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. The following topics will be treated:

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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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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 4 editions, both in the EU and US market

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Application to Stochastic Control,.. is .-dimensional Brownian motion. Here .. ∈ . ⊂ .. is a parameter whose value we can choose in the given Borel set . at any instant t in order to control the process ... Thus .. = .(., .) is a stochastic process. Since our decision at time t must be based upon what has happened up to time ., the

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0172-5939 as sold steadily in 4 editions, both in the EU and US marketThe 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