2013;
151 pp;
Softcover

MSC: Primary 65; 60;

Print ISBN: 978-1-4704-1054-4

Product Code: MBK/82

List Price: $34.00

Individual Member Price: $27.20

**Electronic ISBN: 978-1-4704-1612-6
Product Code: MBK/82.E**

List Price: $34.00

Individual Member Price: $27.20

#### You may also like

#### Supplemental Materials

# An Introduction to Stochastic Differential Equations

Share this page
*Lawrence C. Evans*

*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.*

—

*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.*

—

*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. *

—

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. 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).

#### Table of Contents

# Table of Contents

## An Introduction to Stochastic Differential Equations

- Cover Cover11 free
- Title page iii4 free
- Contents v6 free
- Preface vii8 free
- Introduction 110 free
- A crash course in probability theory 716 free
- Brownian motion and “white noise” 3746
- Stochastical integrals 5968
- Stochastic differential equations 8392
- Applications 103112
- Appendix 127136
- Exercises 135144
- Notes and suggested reading 145154
- Bibliography 147156
- Index 149158 free
- Back Cover Back Cover1161

#### Readership

Undergraduate and graduate students interested in probability theory and stochastic differential equations.

#### Reviews

... [A]n interesting and unusual introduction to stochastic differential equations...topical and appealing to a wide audience. ... This is interesting stuff and, because of Evans' always clear explanations, it is fun too.

-- MAA Reviews