Stochastic Differential Equations
Subtitle: An Introduction With Applications (Universitext)
Publisher: Springer
Published: December 1995
Language: eng
Number of pages: 271
ISBN-13: 9780387602431
First sentence: If we allow for some randomness in some of the coefficients of a differential equation we often obtain a more realistic mathematical model of the situation.
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 cases (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.