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J-GLOBAL ID：200902212378737140   Reference number：07A0385340

確率微分方程式の基礎

Author (1)：
TAKAOKA KOICHIRO

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(一橋大 大学院商学研究科)

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Material：
応用数理  (Bulletin of the Japan Society for Industrial and Applied Mathematics)

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Volume： 17  Issue： 1  Page： 21-28  Publication year： Mar. 26, 2007 
JST Material Number： L1191A  ISSN： 0917-2270  Document type： Article
Article type： 解説  Country of issue： Japan (JPN)  Language： JAPANESE (JA)
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*stochastic differential equation

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JST classification (2)：
JST classification
Category name(code) classified by JST.
Fluctuation phenomena,random process,Brownian motion,and transport process 
(BA08020B)

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,  Theory of probability 
(AB09000O)

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Reference (18)：
  • BJORK, T. Arbitrage Theory in Continuous Time. 2004
  • BLACK, F. The pricing of options and corporate liabilities. J. Political Economy. 1973, 81, 3, 637-659
  • DURRETT, R. Brownian Motion and Martingales in Analysis. 1984
  • 藤田岳彦. ファイナンスの確率解析入門. 2002
  • 舟木直久. 確率微分方程式. 1997
ｍore...
Terms in the title (2)：
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確率微分方程式

About 確率微分方程式

, 
基礎

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