Abstract
This article briefly reviews the prerequisite material on Itô stochastic integrals and stochastic differential equations assumed for the study institute. For details the reader is referred to the recommended text “Stochastic Differential Equations” by L. Arnold, John Wiley 1974.
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References
L. Arnold, “Stochastic Differential Equations”. John Wiley, 1974.
K. Åström, “Introduction to Stochastic Control Theory”. Academic Press, 1970.
M.H.A. Davis, “Linear Estimation and Stochastic Control”. Champman & Hall, 1977.
R.S. Liptser and A.N. Shiryayev, “Statistics of Random Processes I.” General Theory, Springer Verlag, 1977.
E. Wong, “Stochastic Processes in Information and Dynamical Systems”. McGraw Hill, New York, 1971.
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© 1981 D. Reidel Publishing Company
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Curtain, R.F. (1981). A Tutorial Article on the Itô Integral and the Stochastic Calculus. In: Hazewinkel, M., Willems, J.C. (eds) Stochastic Systems: The Mathematics of Filtering and Identification and Applications. NATO Advanced Study Institutes Series, vol 78. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-8546-9_3
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DOI: https://doi.org/10.1007/978-94-009-8546-9_3
Publisher Name: Springer, Dordrecht
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