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Stochastic calculus and applications / Robert J. Elliott

Auteur principal : Elliott, Robert James, 1940-, AuteurType de document : MonographieCollection : Applications of mathematics, 18Langue : anglais.Pays : Etats Unis.Éditeur : New York : Springer-Verlag, 1982Description : 1 vol. (VIII-302 p.) ; 25 cmISBN : 0387907637.ISSN : 0172-4568.Bibliographie : Bibliogr. Index.Sujet MSC : 60Hxx, Probability theory and stochastic processes, Stochastic analysis
60G40, Probability theory and stochastic processes -- Stochastic processes, Stopping times; optimal stopping problems; gambling theory
60G44, Probability theory and stochastic processes -- Stochastic processes, Martingales with continuous parameter
93Exx, Systems theory; control, Stochastic systems and control
60J60, Probability theory and stochastic processes -- Markov processes, Diffusion processes
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Bibliogr. Index

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