Titlebook: Stochastic Differential Equations; An Introduction with Bernt ?ksendal Textbook 19954th edition Springer-Verlag Berlin Heidelberg 1995 Equa

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Some Mathematical Preliminaries,Having stated the problems we would like to solve, we now proceed to find reasonable mathematical notions corresponding to the quantities mentioned and mathematical models for the problems. In short, here is a first list of the notions that need a mathematical interpretation:

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Stochastic Differential Equations,We now return to the possible solutions .. (.) of the stochastic differential equation.where .. is 1-dimensional “white noise”. As discussed in Chapter III the Ito interpretation of (5.1) is that .. satisfies the stochastic integral equation.or in differential form

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Other Topics in Diffusion Theory,In this chapter we study some other important topics in diffusion theory and related areas. While not strictly necessary for the remaining chapters, these topics are central in the theory of stochastic analysis and essential for further applications. The following topics will be treated:

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Applications to Boundary Value Problems,We now use the preceding results to solve the following generalization of the Dirichlet problem stated in the introduction:

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Application to Optimal Stopping,Problem 5 in the introduction is a special case of a problem of the following type:

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Stochastic Differential Equations978-3-662-03185-8Series ISSN 0172-5939 Series E-ISSN 2191-6675