Stochastic differential equations. An introduction with applications.
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Publication:5906890
zbMath0897.60056MaRDI QIDQ5906890
Publication date: 23 March 1998
Published in: Universitext (Search for Journal in Brave)
93E11: Filtering in stochastic control theory
60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
60J45: Probabilistic potential theory
60Hxx: Stochastic analysis
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