Universitext

Stochastic Differential Equations

An Introduction with Applications

Authors: Øksendal, Bernt

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eBook $34.99
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  • ISBN 978-3-642-14394-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-3-540-04758-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Reviews

From the reviews of the fifth edition:

"This is a highly readable and refreshingly rigorous introduction to stochastic calculus. … This is not a watered-down treatment. It is a serious introduction that starts with fundamental measure-theoretic concepts and ends, coincidentally, with the Black-Scholes formula as one of several examples of applications. This is the best single resource for learning the stochastic calculus … ." (riskbook.com, 2002)

From the reviews of the sixth edition:

"The book … has evolved from a 200-page typewritten booklet to a modern classic. Part of its charm and success is the fact that the author does not bother too much with the (for the novice) cumbersome rigorous theory … . This does not mean that the book is not rigorous, it is just the timing and dosage of mathematical rigour … that is palatable for undergraduates … . a highly readable account, suitable for self-study and for use in the classroom." (René L. Schilling, The Mathematical Gazette, March, 2005)

"This is the sixth edition of the classical and excellent book on stochastic differential equations. The main difference with the next to last edition is the addition of detailed solutions of selected exercises … . This is certainly an excellent idea in view to test its ability of applications of the concepts … . certainly one of the best books on the subject, it will be very helpful to any graduate students and also very valuable for any analysts of financial market." (Stéphane Métens, Physicalia, Vol. 26 (1), 2004)

"This is now the sixth edition of the excellent book on stochastic differential equations and related topics. … the presentation is successfully balanced between being easily accessible for a broad audience and being mathematically rigorous. The book is a first choice for courses at graduate level in applied stochastic differential equations. The inclusion of detailed solutions to many of the exercises in this edition also makes it very useful for self-study." (Evelyn Buckwar, Zentralblatt MATH, Vol. 1025, 2003)


Table of contents (12 chapters)

Buy this book

eBook $34.99
price for USA (gross)
  • ISBN 978-3-642-14394-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-3-540-04758-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Differential Equations
Book Subtitle
An Introduction with Applications
Authors
Series Title
Universitext
Copyright
2003
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-14394-6
DOI
10.1007/978-3-642-14394-6
Softcover ISBN
978-3-540-04758-2
Series ISSN
0172-5939
Edition Number
6
Number of Pages
XXVII, 379
Topics