Universitext

Stochastic Differential Equations

An Introduction with Applications

Authors: Oksendal, Bernt

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About this Textbook

From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications... The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2

Table of contents (11 chapters)

Table of contents (11 chapters)

Buy this book

eBook $74.99
price for USA in USD
  • ISBN 978-3-662-02574-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts available
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Differential Equations
Book Subtitle
An Introduction with Applications
Authors
Series Title
Universitext
Copyright
1989
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-02574-1
DOI
10.1007/978-3-662-02574-1
Series ISSN
0172-5939
Edition Number
2
Number of Pages
XV, 188
Topics