Stochastic Differential Equations: An Introduction with Applications
| Author | : | |
| Rating | : | 4.15 (580 Votes) |
| Asin | : | 3540533354 |
| Format Type | : | paperback |
| Number of Pages | : | 239 Pages |
| Publish Date | : | 0000-00-00 |
| Language | : | English |
DESCRIPTION:
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.. An introduction to the basic theory of stochastic calculus and its applications
A Customer said An Excellent Book. When I became a quant, I needed to learn stochastic calculus and stochastic differential equations. Luckily, I found this book, which covers a lot of difficult concepts in a rigorous but accessible way. Oksendal is an excellent writer: his proofs are very clear (and usually not too terse), he provides very illustrative exa. Good entry level primer sbj This book is very easy to follow through the basics of stochastic calculus. The writing and examples remain fluid throughout the book, but the more difficult material could use a bit more in the way of examples.