Journal ArticleDOI
Stochastic differential equations : an introduction with applications
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Some Mathematical Preliminaries as mentioned in this paper include the Ito Integrals, Ito Formula and the Martingale Representation Theorem, and Stochastic Differential Equations.Abstract:
Some Mathematical Preliminaries.- Ito Integrals.- The Ito Formula and the Martingale Representation Theorem.- Stochastic Differential Equations.- The Filtering Problem.- Diffusions: Basic Properties.- Other Topics in Diffusion Theory.- Applications to Boundary Value Problems.- Application to Optimal Stopping.- Application to Stochastic Control.- Application to Mathematical Finance.read more
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