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Oksendal B. — Stochastic Differential Equations: An Introduction With Applications
Oksendal B. — Stochastic Differential Equations: An Introduction With Applications



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Название: Stochastic Differential Equations: An Introduction With Applications

Автор: Oksendal B.

Аннотация:

This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new exercises (without solutions) have been added. They have all been placed in the end of each chapter, in order to facilitate the use of this edition together with previous ones.
Several errors have been corrected and formulations have been improved. This has been made possible by the valuable comments from (in alphabetical order) Jon Bohlin, Mark Davis, Helge Holden, Patrick Jaillet, Chen Jing, Natalia Koroleva, Mario Lefebvre, Alexander Matasov, Thilo Meyer-Brandis, Keigo Osawa, Bj0rn Thunestvedt, Jan Ub0e and Yngve Willassen. I thank them all for helping to improve the book.
My thanks also go to Dina Haraldsson, who once again has performed the typing and drawn the figures with great skill.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Издание: 6-th

Год издания: 2003

Количество страниц: 363

Добавлена в каталог: 30.10.2006

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Transition measure      195
Transition operator      174
Trap      127
Uniformly elliptic partial differential operator      187 282
Uniformly integrable      311—312
Utility function      4 247
Utility rate function      235
Value function      224 236
Value process      262
Value process, normalized      272—273
Variational inequalities (and optimal stopping)      3 224—227
Version (of a process)      14 32
Volterra equation, deterministic      93
Volterra equation, stochastic      76
Weak solution (of a stochastic differential equation)      72
Weak uniqueness      72
Wealth process      247 259
Well posed (martingale problem)      147
White noise      21 63
Wiener criterion      185
X-harmonic      180
Zero-one law      182
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