STOCHASTIC DIFFERENTIAL EQUATIONS
An Introduction with Applications

Contents:

1. Some Mathematical Preliminaries

2. Ito Integrals

3. Ito Processes and the Ito Formula

4. Stochastic Differential Equations

5. The Filtering Problem

6. Diffusions: Basic Properties

7. Other Topics in Diffusion Theory

8. Applications to Boundary Value Problems

9. Application to Optimal Stopping

10. Application to Stochastic Control