Sei sulla pagina 1di 385
Bernt Oksendal Stochastic Differential Equations An Introduction with Applications Sixth Edition With 14 Figures & Springer Bernt Oksendal Department of Mathematics University of Oslo Box 1053, Blindern 0316 Oslo, Norway e-mail: oksendal@math.uio.no Cover Art: The front cover shows five sample paths X¢(w1), Xe(w2), Xe(ws), Xe(wa) and Xe(us) of a geometric Brownian motion X;(w), ie. of the solution of a (- dimensional) stochastic differential equation of the form cacy dt where z,r and o are constants and W; = We(w) is white noise. This process is often used to model “exponential growth under uncertainty’, See Chapters 5, 10, 11 and 12. ‘The figure is a computer simulation for the case 2 = value of Xe, B{X¢] = exp(t), is also drawn. Courtesy of Jan Ubse, Norwegian School of Economics and Business Administra tion, Bergen. Library of Congress Cataloging in-Publication Data rsendal, B, K. (Bernt Karsten), 1945- Stochastic differential equations: an introduction with applications / Bernt Ocenia. 6th ed pcm. ~ (Universitext) Includes bibliographical references and index. ISBN 3-540.04758-1 (softcover: ak. pape) 1, Stochastic differential equations. I. Tite (QA274.23.047 2003, 519.2-4e21 = 0.6. The mean 2003052637 ISBN 3-540-04758-1 Springer-Verlag Berlin Heidelberg New York ‘Mathematics Subject Classification (2000): 60H10, 60635, 60640, 60G44, 9320, 60]45, 60J25 ‘This work is subject to copyright, All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution ‘under the German Copyright Law. Springer-Verlag Berlin Heidelberg New York amember of BertelsmannSpringer Science+Business Media GmbH http: /wwwspringerde © Springer-Verlag Berlin Heidelberg 1985, 1989, 1992, 1995, 1998, 2003, Printed in Germany ‘The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: design & production GmbH, Heidelberg ‘Typeset by the authors using « BX macro package Printed on acid-free paper SPIN:10816217 aulgunck $4321 To My Family Eva, Elise, Anders and Karina