Introduction to stochastic differential equations / Lawrence C. Evans.
Material type:
TextPublication details: Providence : AMS, c2013.Description: viii, 151 p. : illustrations ; 26 cmISBN: - 9781470410544 (alk. paper)
- 519.23 23 Ev92
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.23 Ev92 (Browse shelf(Opens below)) | Available | 135457 |
Includes bibliographical references (pages 147-148) and index.
Chapter 1. Introduction--
Chapter 2. A crash course in probability theory--
Chapter 3. Brownian motion and "White Noise"--
Chapter 4. Stochastic Integrals--
Chapter 5. Stochastic differential equations--
Chapter 6. Applications--
Appendix--
Exercises--
Notes and suggested reading--
Bibliography--
Index.
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.
There are no comments on this title.
