This short 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 concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô 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).

*"synopsis" may belong to another edition of this title.*

Lawrence C. Evans , University of California, Berkeley, CA, USA

... [A]n interesting and unusual introduction to stochastic differential equations...topical and appealing to a wide audience. ... This is interesting stuff and, because of Evans' always clear explanations, it is fun too. --Mathematical Association of America

These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York University

This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. --Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch

*"About this title" may belong to another edition of this title.*

US$ 37.54

**Shipping:**
FREE

From United Kingdom to U.S.A.

Published by
American Mathematical Society, United States
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, United States, 2014. Hardback. Book Condition: New. Language: English . Brand New 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. Bookseller Inventory # AAN9781470410544

More Information About This Seller | Ask Bookseller a Question

Published by
American Mathematical Society, United States
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, United States, 2014. Hardback. Book Condition: New. Language: English . Brand New 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. Bookseller Inventory # AAN9781470410544

More Information About This Seller | Ask Bookseller a Question

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Quantity Available: 5

Seller:

Rating

**Book Description **Book Condition: New. Bookseller Inventory # 20427405-n

More Information About This Seller | Ask Bookseller a Question

Published by
American Mathematical Society
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Quantity Available: 6

Seller:

Rating

**Book Description **American Mathematical Society, 2014. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # CE-9781470410544

More Information About This Seller | Ask Bookseller a Question

Published by
American Mathematical Society
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, 2014. Hardback. Book Condition: NEW. 9781470410544 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE01386501

More Information About This Seller | Ask Bookseller a Question

Published by
American Mathematical Society
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Paperback
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, 2014. Paperback. Book Condition: New. book. Bookseller Inventory # M1470410540

More Information About This Seller | Ask Bookseller a Question

Published by
Amer Mathematical Society
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Paperback
Quantity Available: 2

Seller:

Rating

**Book Description **Amer Mathematical Society, 2014. Paperback. Book Condition: Brand New. 151 pages. 9.75x7.00x0.50 inches. In Stock. Bookseller Inventory # __1470410540

More Information About This Seller | Ask Bookseller a Question

Published by
American Mathematical Society
(2014)

ISBN 10: 1470410540
ISBN 13: 9781470410544

New
Paperback
Quantity Available: 2

Seller:

Rating

**Book Description **American Mathematical Society, 2014. Paperback. Book Condition: New. Never used!. Bookseller Inventory # P111470410540

More Information About This Seller | Ask Bookseller a Question