## Table of contents for Stochastic differential equations : an introduction with applications / Bernt ksendal.

Bibliographic record and links to related information available from the Library of Congress catalog

Information from electronic data provided by the publisher. May be incomplete or contain other coding.

Introduction.- Some Mathematical Preliminaries.- Itô Integrals.- Itô 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.- Applications to Optimal Stopping.- Application to Stochastic Control.- Application to Mathematical Finance.- Appendix A: Normal Random Variables.- Appendix B: Conditional Expectations.- Appendix C: Uniform Integrability and Martingale Convergence.- Appendix D: An Approximation Result.- Solutions and Additional Hints to Some of the Exercises.- References.- List of Frequently Used Notation and Symbols.- Index.

Library of Congress subject headings for this publication:

Stochastic differential equations.