Stochastic Differential Equations

From Book News, Inc.
This typographically unaesthetic (because typed) but otherwise very attractive text (corrected and somewhat revised from the edition of 1985) derives from a course for undergraduates which the author (University of Oslo) presented at Edinburgh University in 1982. His objective is to communicate to non-experts a sense of the domain of applications to which the theory of stochastic differential equations most naturally applies, and of the principal components of that theory. In the introductory chapter he poses six illustrative problems, which serve to motivate the theoretical developments (presented sometimes only in outline) which are the subject matter of the succeeding ten chapters. He provides numerous examples but (oddly) no exercises. (NW) Annotation copyright Book News, Inc. Portland, Or.


Book Description
 This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided.


Book Info
Text states six problems in the introduction in which stochastic differential equations play an essential role in the solution. The author returns to these problems while developing stochastic calculus to show how the theory works. Includes new exercises and worked solutions. For graduate students. Previous edition: c1998. Softcover. DLC: Stochastic differential equations.


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This typographically unaesthetic (because typed) but otherwise very attractive text (corrected and somewhat revised from the edition of 1985) derives from a course for undergraduates which the author (University of Oslo) presented at Edinburgh University in 1982. His objective is to communicate to non-experts a sense of the domain of applications to which the theory of stochastic differential equations most naturally applies, and of the principal components of that theory. In the introductory chapter he poses six illustrative problems, which serve to motivate the theoretical developments (presented sometimes only in outline) which are the subject matter of the succeeding ten chapters. He provides numerous examples but (oddly) no exercises. (NW) Annotation c. Book News, Inc., Portland, OR (booknews.com)


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