September 1, 1987

Stochastic Differential Equations: An Introduction with Applications.

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Resumen

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.

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Jacka et al. (Tue,) studied this question.

synapsesocial.com/papers/6a0fb92c64e8141cd25fcbdc https://doi.org/https://doi.org/10.2307/2288814

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