Lawrence C. Evans
An Introduction to Stochastic Differential Equations
- ISBN 13:
- 9781470410544
- author:
- Lawrence C. Evans
- format:
- Paperback
- publisher:
- American Mathematical Society
- language:
- English
- Publication Year:
- 2014
- Pages:
- 151
- Dimensions:
- 1.3 x 17.8 x 24.8 cm
- Genre:
- Science & Nature, Mathematics, Calculus & Mathematical Analysis
- Condition:
- New
- Availability:
- Item usually sent within 10 working days
Description
A concise introduction to stochastic differential equations, this book provides a clear and focused exploration of the subject. It covers measure theoretic probability theory, Brownian motion, and the Itô stochastic calculus, as well as applications in partial differential equations, optimal stopping problems, and options pricing.
Suitable for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, and financial mathematics, this book assumes a basic understanding of measure theoretic mathematical analysis but rapidly develops probability theory. The text is written to be readable and accessible, making it an ideal resource for those looking to learn the basics of stochastic differential equations.
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