Martingale Theory and the Stochastic Integral for Point Processes. - Brownian Motion, Stochastic Integral and Ito's Formula.- Stochastic Differential Equations.- Some Useful Tools in Stochastic Differential Equations.- Stochastic Differential Equations with Non-Lipschitzian Coefficients.- How to Use the Stochastic Calculus to Solve SDE.- Linear and Non-Linear Filtering.- Option Pricing in a Financial Market and BSDE.- Optimal Consumption by H-J-B Equation and Lagrange Method.- Comparison Theorem and Stochastic Pathwise Control.- Stochastic Population Control and Reflecting SDE.- Maximum Principle for Stochastic Systems with Jumps.- Short Review on Basic Probability Theory.- Space D and Skorohod's Metric.- Monotone Class Theorems. Convergence of Random Processes.
EAN/ISBN : 9780387251752
Publisher(s): Springer, Berlin, Springer US
Discussed keywords: Differenzialgleichungen
Format: ePub/PDF

Author(s): Situ, Rong