Springer.Oksendal.B.Stochastic.differential.equations.(5ed.Springer.2000)

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1、BerntÂksendalStochasticDi®erentialEquationsAnIntroductionwithApplicationsFifthEdition,CorrectedPrintingSpringer-VerlagHeidelbergNewYorkSpringer-VerlagBerlinHeidelbergNewYorkLondonParisTokyoHongKongBarcelonaBudapestToMyFamilyEva,Elise,AndersandKarina2Thef

2、rontcovershowsfoursamplepathsXt(!1);Xt(!2);Xt(!3)andXt(!4)ofageometricBrownianmotionXt(!),i.e.ofthesolutionofa(1-dimensional)stochasticdi®erentialequationoftheformdXt=(r+®¢Wt)Xtt¸0;X0=xdtwherex;rand®areconstantsandWt=Wt(!)iswhitenoise.Thisprocessisoftenu

3、sedtomodelexponentialgrowthunderuncertainty".SeeChapters5,10,11and12.The¯gureisacomputersimulationforthecasex=r=1,®=0:6.ThemeanvalueofXt,E[Xt]=exp(t),isalsodrawn.CourtesyofJanUb¿e,Stord/HaugesundCollege.Wehavenotsucceededinansweringallourproblems.Theans

4、werswehavefoundonlyservetoraiseawholesetofnewquestions.Insomewayswefeelweareasconfusedasever,butwebelieveweareconfusedonahigherlevelandaboutmoreimportantthings.Postedoutsidethemathematicsreadingroom,Troms¿UniversityPrefacetoCorrectedPrinting,FifthEdition

5、ThemaincorrectionsandimprovementsinthiscorrectedprintingarefromChaper12.Ihavebene¯ttedfromusefulcommentsfromanumberofpeo-ple,including(inalphabeticalorder)FredrikDahl,SimoneDeparis,UlrichHaussmann,YaozhongHu,MarianneHuebner,CarlPeterKirkeb¿,Niko-layKolev

6、,TakashiKumagai,ShlomoLevental,GeirMagnussen,AndersÂksendal,JÄurgenPottho®,ColinRowat,StigSandnes,LonesSmith,Set-suoTaniguchiandBj¿rnThunestvedt.Iwanttothankthemallforhelpingmemakingthebookbetter.IalsowanttothankDinaHaraldssonforpro¯cienttyping.Blindern,

7、May2000BerntÂksendalVIPrefacetotheFifthEditionThemainnewfeatureofthe¯ftheditionistheadditionofanewchapter,Chapter12,onapplicationstomathematical¯nance.Ifounditnaturaltoincludethismaterialasanothermajorapplicationofstochasticanalysis,inviewoftheamazingdev

8、elopmentinthis¯eldduringthelast10{20years.Moreover,theclosecontactbetweenthetheoreticalachievementsandtheapplicationsinthisareaisstriking.Forexample,todayveryfew¯rms(ifany)tradewithoptionswithoutconsultingtheBlack&Scholesf