An Introduction to Stochastic Differential Equations

Evans, Lawrence C.

ISBN 10: 1470410540 / ISBN 13: 9781470410544

Published by American Mathematical Society, 2014

Used book that is in excellent condition. May show signs of wear or have minor defects. Seller Inventory # 40013127-75

Synopsis:

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).

About the Author: Lawrence C. Evans , University of California, Berkeley, CA, USA

Bibliographic Details

Title: An Introduction to Stochastic Differential ...
Publisher: American Mathematical Society
Publication Date: 2014
Binding: Soft cover
Condition: Very Good