An Introduction to Stochastic Differential Equations Book + PRICE WATCH * Amazon pricing is not included in price watch

An Introduction to Stochastic Differential Equations Book

This book provides a quick, but very readable introduction to stochastic differential equations—that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).Read More

from£39.95 | RRP: £25.50
* Excludes Voucher Code Discount Also available Used from £50.11
  • Blackwell

    An Introduction to Stochastic Differential Equations

  • 1470410540
  • 9781470410544
  • Lawrence C Evans
  • 30 December 2013
  • American Mathematical Society
  • Paperback (Book)
  • 151
As an Amazon Associate we earn from qualifying purchases. If you click through any of the links below and make a purchase we may earn a small commission (at no extra cost to you). Click here to learn more.

Would you like your name to appear with the review?

We will post your book review within a day or so as long as it meets our guidelines and terms and conditions. All reviews submitted become the licensed property of www.find-book.co.uk as written in our terms and conditions. None of your personal details will be passed on to any other third party.

All form fields are required.