articleTop 10% cited
Stochastic Differential Equations: An Introduction with Applications.
Journal of the American Statistical Association · 1987 · Vol. 82(399) · pp. 948–948
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.
Stochastic processes and financial applicationsStochastic differential equationApplied mathematicsMathematicsComputer science
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