Title: Stochastic differential equations
First published: 1985
Description: The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development.

Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications..."

. The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about.
Subjects: Stochastic differential equations, Mathematics, Global analysis (Mathematics), Engineering mathematics, Distribution (Probability theory), Mathematical optimization, Differential equations, partial, Systems theory, Differential equations, Équations différentielles stochastiques, Economics, Qa274.23 .o47 2003, 519.2, Partial Differential equations, System theory, Probability Theory and Stochastic Processes, Mathematical and Computational Physics Theoretical, Control Systems Theory, Calculus of Variations and Optimal Control; Optimization