MS&E 322 |
Stochastic Calculus and Control |
| General
Info | Announcements | References|
Topics | Handouts | Assignments | Links |
References
These
books are reserved in the Engineering Library. (The recall may take some time).
Text
Stochastic Differential
Equations: An Introduction with Applications by Bernt
Oksendal
Optional
Text
J. Michael
Steele; Stochastic Calculus and Financial Applications.
Karlin and
Karatzas and Shreve; Brownian motion and Stochastic
Calculus
Darrel Duffie ; Dynamic Asset Pricing Theory
Wendell H. Fleming and H.M. Soner; Title: Controlled
Markov Processes
and Viscosity Solutions
Durrett; Probability: Theory and Examples;3rd
edition
Bernt Oksendal and
Agnes Sulem; applied Stochastic Control of Jump
Diffusions
Steve Shreve; Stochastic Calculus for Finance II: Continuous-Time Models
| Management Science &
Engineering Dept | Stanford University
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