MATS352 Stokastiset differentiaaliyhtälöt 1 - Linkkejä

Linkkejä

Kirjoja

Stewart N. Ethier & Thomas G. Kurtz. Markov Processes: Characterization and Convergence, 2005.
Avner Friedman. Stochastic Differential Equations and Applications, 2006.
Olav Kallenberg. Foundations of Modern Probability, 2002.
Iannis Karatzas & Steven Shreve. Brownian Motion and Stochastic Calculus, 1991.
Peter Mörters & Yuval Peres. Brownian Motion, 2010.
L. C. G. Rogers & David Williams. Diffusions, Markov Processes, and Martingales Vol. 1, 2000.
L. C. G. Rogers & David Williams. Diffusions, Markov Processes, and Martingales Vol. 2, 2000.
Bernt Øksendal. Stochastic Differential Equations: An Introduction with Applications, 2006.

Luentomonisteita

Stefan Geiss. Stochastic Processes in Continuous Time, 2009
Tommi Sottinen. Rahoitusteoria, 2006.

Lehtiartikkeleita

Desmond J. Higham. An algorithmic introduction to numerical simulation of stochastic differential equations, SIAM Rev. 43(3):525-546, 2001.

Sekalaista