An Introduction to Stochastic Differential Equations by Lawrence C. Evans
English | January 5th, 2014 | ISBN: 1470410540 | 161 Pages | True PDF | 2.13 MB
This short 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 concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô stochastic calculus, and finally the theory of stochastic differential equations.