Stochastic Differential Equations: An Introduction with Applications.

19874,082 citationsJournal Article

Authors

Abstract

Some Mathematical Preliminaries.- Ito Integrals.- The Ito Formula and the Martingale Representation Theorem.- Stochastic Differential Equations.- The Filtering Problem.- Diffusions: Basic Properties.- Other Topics in Diffusion Theory.- Applications to Boundary Value Problems.- Application to Optimal Stopping.- Application to Stochastic Control.- Application to Mathematical Finance.

Topics & Keywords

Stochastic processes and financial applications

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: Journal of the American Statistical Association

Volume 82, Issue 399, pp. 948-948

DOI: 10.2307/2288814

Field-Weighted Citation Impact: 10.32