Description

Book Synopsis
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.

Trade Review
... [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

Table of Contents
  • Preface
  • Introduction
  • A crash course in probability theory
  • Brownian motion and “white noise”
  • Stochastical integrals
  • Stochastic differential equations
  • Applications
  • Appendix
  • Exercises
  • Notes and suggested reading
  • Bibliography
  • Index

An Introduction to Stochastic Differential

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    A Hardback by Lawrence C. Evans

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    Order before 4pm today for delivery by Fri 16 Oct 2026.

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      Book details

      Publisher American Mathematical Society
      Published 1/30/2014 12:00:00 AM
      ISBN-13 9781470410544
      978-1470410544
      ISBN-10 1470410540
      Also in:
      Mathematics Differential calculus and equations Stochastics Not Just Books Stationery

      Description

      Book Synopsis
      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.

      Trade Review
      ... [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

      Table of Contents
      • Preface
      • Introduction
      • A crash course in probability theory
      • Brownian motion and “white noise”
      • Stochastical integrals
      • Stochastic differential equations
      • Applications
      • Appendix
      • Exercises
      • Notes and suggested reading
      • Bibliography
      • Index

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