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An Introduction to Stochastic Differential Equations

Author(s): Lawrence C. Evans  
Publisher: Department of Mathematics  
Edition: 2  

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An Introduction to Stochastic Differential Equations

Book Description

This is a short book, which provides a quick, but very readable introduction to stochastic differential equations which 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 analysis of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô 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.

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