Stochastic differential equations. An introduction with applications.

DOI10.1007/978-3-642-14394-6zbMath1025.60026OpenAlexW4238187298MaRDI QIDQ5967093

Bernt Øksendal

Publication date: 22 July 2003

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-14394-6

zbMATH Keywords

stochastic differential equationsoptimal filteringstochastic analysisBrownian motionsfinancial market

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic analysis (60Hxx)