Lectures on Topics in Stochastic Differential Equations
by Daniel W. Stroock
Publisher: Tata Institute of Fundamental Research 1982
Number of pages: 93
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
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by John C. Nash - Marcel Dekker Inc
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This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
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