Markovprozesse und stochastische Differentialgleichungen

DOI10.1007/978-3-658-00988-5zbMath1283.60001OpenAlexW2501518388MaRDI QIDQ4914619

Ehrhard Behrends

Publication date: 15 April 2013

Full work available at URL: https://doi.org/10.1007/978-3-658-00988-5

zbMATH Keywords

Markov chainsrandom walksoptimal stoppingBrownian motionstochastic differential equationsMarkov processesMonte Carlo methodBlack-Scholes formulaItō integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Financial applications of other theories (91G80) Stochastic integrals (60H05) Markov processes (60Jxx)

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