An Introduction to Stochastic Differential Equations

Lawrence C. Evans

ISBN 10: 1470410540 / ISBN 13: 9781470410544

Editore: American Mathematical Society, US, 2014

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This book provides a quick, but very readable introduction to stochastic differential equations-that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).

Codice articolo LU-9781470410544

Dati bibliografici

• Titolo: An Introduction to Stochastic Differential Equations
• Editore: American Mathematical Society, US
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 1470410540
• ISBN 13: 9781470410544
• Rilegatura: Hardback
• Condizione: New
• Peso: 295 grammi

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Riassunto

Evans has revised lecture notes for a course on stochastic differential equations that he has taught at various universities. Omitting some precise detail, he surveys the basics of the Itô stochastic calculus and the foundations of stochastic differential equations, with particular emphasis on applications to partial differential equations. He assumes readers to be fairly adept with measure-theoretic mathematical analysis, but does not assume any particular knowledge of probability theory, which he develops briefly. Annotation ©2014 Book News, Inc., Portland, OR (booknews.com)