Modelling with Stochastic Differential Equations

  • Peter E. Kloeden
  • Eckhard Platen
Chapter
Part of the Applications of Mathematics book series (SMAP, volume 23)

Abstract

Important issues which arise when stochastic differential equations are used in applications are discussed in this chapter, in particular the appropriateness of the Ito or Stratonovich version of an equation. Stochastic stability, parametric estimation, stochastic control and filtering are also considered.

Keywords

Manifold Covariance Income Eter Autocorrelation 

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Bibliographical Notes

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Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Peter E. Kloeden
    • 1
  • Eckhard Platen
    • 2
  1. 1.Fachbereich MathematikJohann Wolfgang Goethe-UniversitätFrankfurt am MainGermany
  2. 2.School of Mathematical Sciences and School of Finance & EconomicsUniversity of Technology, SydneyBroadwayAustralia

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