An Introduction to Stochastic Differential Equations

Lawrence C. Evans

ISBN 10: 1470410540 / ISBN 13: 9781470410544

Published by American Mathematical Society, 2014

About this Item

Book is in good condition and may include underlining highlighting and minimal wear. The book can also include "From the library of" labels. May not contain miscellaneous items toys, dvds, etc. . We offer 100% money back guarantee and 24 7 customer service.

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Bibliographic Details

• Title: An Introduction to Stochastic Differential Equations
• Publisher: American Mathematical Society
• Publication Date: 2014
• Language: English
• ISBN 10: 1470410540
• ISBN 13: 9781470410544
• Binding: Soft cover
• Condition: good

About this title

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