Stochastic differential equations
Subtitle: an introduction with applications
By: Bernt Øksendal.
Edition: 5th ed.
Series: Universitext
Publisher: Springer
Published: 1998
Place of publication: Berlin; New York
Language: eng
Number of pages: 324
Subjects: Stochastic differential equations.
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. The new feature of this 5th edition is an extra chapter on applications to mathematical finance.
Notes: Includes bibliographical references (p. [311]-316) and index.