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An Introduction to stochastic differential equations

By: Evans, Lawrence C.
Material type: materialTypeLabelBookPublisher: Hyderabad American mathematical society 2017Description: viii, 151 p.ISBN: 9781470437343.Subject(s): Stochastic differential equations | Probability Theory | Brownion motionDDC classification: 519.2 Summary: 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. https://www.alibris.com/An-Introduction-to-Stochastic-Differential-Equations-Lawrence-C-Evans/book/29413674
List(s) this item appears in: Prof. A. K. Laha
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Item type Current location Collection Call number Status Date due Barcode
Books Books Vikram Sarabhai Library
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Non Fiction 519.2 E9I6 (Browse shelf) Available 194412

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.


https://www.alibris.com/An-Introduction-to-Stochastic-Differential-Equations-Lawrence-C-Evans/book/29413674


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