An Introduction to Stochastic Differential Equations
Ranked #25 in Differential Equations
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 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 Îto stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential... more
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