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An Introduction to Stochastic Differential Equations
Lawrence C. Evans
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Description for An Introduction to Stochastic Differential Equations
Hardback. 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. Num Pages: 151 pages, illustrations. BIC Classification: PBKJ. Category: (G) General (US: Trade). Dimension: 254 x 178 x 9. Weight in Grams: 294.
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 ... Read more
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 ... Read more
Product Details
Publisher
American Mathematical Society
Format
Hardback
Publication date
2014
Condition
New
Number of Pages
151
Place of Publication
Providence, United States
ISBN
9781470410544
SKU
V9781470410544
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1
About Lawrence C. Evans
Lawrence C. Evans, University of California, Berkeley, CA, USA
Reviews for An Introduction to Stochastic Differential Equations
... [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." - MAA Reviews