Stochastic Differential Equations: An Introduction With Applications (Universitext)
Stochastic Differential Equations: An Introduction With Applications (Universitext) by -
Stochastic Differential Equations: An Introduction With Applications (Universitext) Author: -
Title: Stochastic Differential Equations: An Introduction With Applications (Universitext)
ISBN: 0387533354
ISBN13: 978-0387533353
Other Formats: doc lit docx lrf
Pages: 224 pages
Publisher: Springer Verlag; Subsequent edition (March 1, 1992)
Language: English
Category: Science & Math
Size PDF version: 1503 kb
Size EPUB version: 1301 kb
Subcategory: Mathematics




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 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.