TY  - BOOK
AU  - Evans,Lawrence C.
TI  - Introduction to stochastic differential equations
SN  - 9781470410544 (alk. paper)
U1  - 519.23 23
PY  - 2013///
CY  - Providence
PB  - AMS
KW  - Stochastic differential equations
KW  - Numerical analysis -- Probabilistic methods, simulation and stochastic differential equations -- Stochastic differential and integral equations
KW  - Probability theory and stochastic processes -- Markov processes -- Brownian motion
N1  - 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
N2  - 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
ER  -