An Introduction to Stochastic Differential Equations

An Introduction to Stochastic Differential Equations

This short 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 ItÃ´ 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 graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).
Country USA
Manufacturer American Mathematical Society
Binding Paperback
UnitCount 1
EANs 9781470410544
ReleaseDate 0000-00-00

Country	USA
Manufacturer	American Mathematical Society
Binding	Paperback
UnitCount	1
EANs	9781470410544
ReleaseDate	0000-00-00

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