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Stochastic Differential Equations

Overview of attention for book
Cover of 'Stochastic Differential Equations'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Some Mathematical Preliminaries
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    Chapter 3 Ito Integrals
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    Chapter 4 Stochastic Integrals and the Ito Formula
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    Chapter 5 Stochastic Differential Equations
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    Chapter 6 The Filtering Problem
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    Chapter 7 Diffusions: Basic Properties
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    Chapter 8 Other Topics in Diffusion Theory
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    Chapter 9 Applications to Boundary Value Problems
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    Chapter 10 Application to Optimal Stopping
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    Chapter 11 Application to Stochastic Control
Attention for Chapter 6: The Filtering Problem
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