An Introduction to Stochastic Differential Equations

Lawrence C. Evans

ISBN 10: 1470410540 / ISBN 13: 9781470410544

Verlag: American Mathematical Society, 2014

Beschreibung

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. Num Pages: 151 pages, illustrations. BIC Classification: PBKJ. Category: (G) General (US: Trade). Dimension: 254 x 178 x 9. Weight in Grams: 294. . 2014. Paperback. . . . . Books ship from the US and Ireland. Bestandsnummer des Verkäufers V9781470410544

Bibliografische Details

Titel: An Introduction to Stochastic Differential ...

Verlag: American Mathematical Society

Erscheinungsdatum: 2014

Einband: Softcover

Zustand: New

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Críticas:

These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. -Srinivasa Varadhan, New York University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only a basic background in mathematical analysis and probability. -George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. -Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch "... [A]n interesting and unusual introduction to stochastic differential equations...topical and appealing to a wide audience. ... This is interesting stuff and, because of Evan's always clear explanations, it is fun too." -- MAA