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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Order before 4pm today for delivery by Sat 20 Dec 2025.

A Hardback by Lawrence C. Evans

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    View other formats and editions of An Introduction to Stochastic Differential by Lawrence C. Evans

    Publisher: MP-AMM American Mathematical
    Publication Date: 1/30/2014 12:00:00 AM
    ISBN13: 9781470410544, 978-1470410544
    ISBN10: 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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