Stochastic differential equations. An introduction with applications.
From MaRDI portal
Publication:5905480
zbMath0694.60046MaRDI QIDQ5905480
Publication date: 17 September 1992
Published in: Universitext (Search for Journal in Brave)
stochastic differential equationoptimal stoppingstochastic controluniform integrabilityboundary value problemmartingale problemmartingale convergence
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stochastic analysis (60Hxx)
Related Items (16)
On continuous-time threshold ARMA processes ⋮ Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization ⋮ Heterogeneous beliefs, wealth accumulation, and asset price dynamics ⋮ Coupling of Wiener processes by using copulas ⋮ Random search in fluid flow aided by chemotaxis ⋮ Hopf bifurcation analysis for a delayed predator-prey system with diffusion effects ⋮ A free boundary problem for a flexible loan based on the borrower asset ⋮ Optimal portfolio and background risk: an exact and an approximated solution. ⋮ When is a stochastic integral a time change of a diffusion? ⋮ Local characteristics and tangency of vector-valued martingales ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION ⋮ Existence, uniqueness and Lipschitz dependence for Patlak-Keller-Segel and Navier-Stokes in \(\mathbb R^2\) with measure-valued initial data ⋮ Optimal movement control models of Langevin and Hamiltonian types ⋮ An application of reflected diffusions to the problem of choosing between hydro and thermal power generation ⋮ Stability and stabilization of piecewise‐affine slab systems subject to Wiener process noise
This page was built for publication: Stochastic differential equations. An introduction with applications.
