Stochastic Differential Equations

Inhaltsverzeichnis

• I. Introduction.
• II. Some Mathematical Preliminaries.
• III. Ito Integrals.
• IV. Ito Processes and the Ito Formula.
• V. Stochastic Differential Equations.
• VI. The Filtering Problem.
• VII. Diffusions: Basic Properties.
• VIII. Other Topics in Diffusion Theory.
• IX. Applications to Boundary Value Problems.
• X. Application to Optimal Stopping.
• XI. Application to Stochastic Control.
• Appendix A: Normal Random Variables.
• Appendix B: Conditional Expectations.
• Appendix C: Uniform Integrability and Martingale Convergence.
• Solutions and additional hints to some of the exercises.
• List of Frequently Used Notation and Symbols.