Stochastic Differential Equations
Subtitle: An Introduction with Applications (Universitext)
Edition: 6th ed. 2003. Corr. 4th printing edition
Publisher: Springer
Published: June 12, 2007
Language: eng
Format: Paperback
Number of pages: 392
ISBN-13: 9783540047582
Subjects: Differential Equations; Stochastics; Stochastic differential equations; Probability & Statistics - General; Mathematics; Science/Mathematics; MSC(2000):60G35, 60G40, 60H10, 60J45, 93E20; Mathematics / Statistics; Mathematics : Differential Equations; filtering theory; mathematical finance; optimal filtering; stochastic calculus; stochastic control; Mathematical Physics; Stochastic differential equati
First sentence: If we allow for some randomness in some of the coefficients of a differential equation we often obtain a more realistic mathematical model of the situation.