Stochastic differential equations. An introduction with applications. (Q5905480)
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scientific article; zbMATH DE number 45384
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential equations. An introduction with applications. |
scientific article; zbMATH DE number 45384 |
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Stochastic differential equations. An introduction with applications. (English)
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17 September 1992
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The second edition is a revised and slightly expanded version of the first, 1985-edition, see the review Zbl 0567.60055. Chapter VII (``diffusions'') of the first edition has been split into two chapters - one on basic properties and one on more advanced topics. Notable extensions of the first edition are a section on the martingale problem approach and an additional appendix on uniform integrability and martingale convergence.
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stochastic differential equation
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boundary value problem
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optimal stopping
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stochastic control
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martingale problem
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uniform integrability
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martingale convergence
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