| 《随机微分方程》（第6版）为全英文版，适合数学专业研究生阅读参考。 |
| 1 Introduction 1.1 Stochastic Analogs of Classical Differential Equations 1.2 Filtering Problems 1.3 Stochastic Approach to Deterministic Boundary Value Problems 1.4 Optimal Stopping 1.5 Stochastic Control 1.6 Mathematical Finance 2 Some Mathematical Preliminaries 2.1 Probability Spaces, Random Variables and Stochastic Processes 2.2 An Important Example: Brownian Motion Exercises 3 Ito Integrals 3.1 Construction of the It5 Integral 3.2 Some properties of the It5 integral 3.3 Extensions of the Ito integral Exercises 4 The Ito Formula and the Martingale Representation Theorem 4.1 The 1-dimensional It5 formula 4.2 The Multi-dimensional& |
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