Mathematical treatise demonstrates stochastic calculus and diffusion theory across dynamic systems, highlighting applications in finance and control.
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. (1987) studied this question.
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