Stochastic Differential Equations - 6th Edition

Author: BERNT KENDAL
Publisher:
Publication Date: 2006-05-01
Features: Stochastic differential equations have extensive applications in many fields outside of mathematics and play an effective role in connecting various branches of mathematics. This book is part of the Universitext series and is an ideal graduate-level textbook. We have previously published the 2nd and 4th editions in photocopied form. Compared to the 4th edition, the 6th edition has undergone significant revisions and additions, expanding by 90 pages (nearly one-third of the content) to include topics such as martingale representation theory, variational inequalities, and stochastic control. The book also includes selected solutions and hints for some exercises. The book covers topics such as martingale representation theory, variational inequalities, and stochastic control, with selected solutions and hints for some exercises provided at the end.