Stochastic differential equations. An introduction with applications. 2nd ed. (English) Zbl 0694.60046

Øksendal, Bernt

Universitext. Berlin etc.: Springer-Verlag. xv, 186 p. DM 48.00 (1989).

The second edition is a revised and slightly expanded version of the first, 1985-edition, see the review Zbl 0567.60055. Chapter VII (“diffusions”) of the first edition has been split into two chapters - one on basic properties and one on more advanced topics. Notable extensions of the first edition are a section on the martingale problem approach and an additional appendix on uniform integrability and martingale convergence.

Reviewer: M.Scheutzow

MSC:

60Hxx	Stochastic analysis
60-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60G35	Signal detection and filtering (aspects of stochastic processes)
93E20	Optimal stochastic control

Keywords:

stochastic differential equation; boundary value problem; optimal stopping; stochastic control; martingale problem; uniform integrability; martingale convergence

Citations:

Zbl 0567.60055