000			01900nam a2200217 4500
005			20250401144418.0
008			250401b |||||||| |||| 00| 0 eng d
020			_a9781470437343
037			_cTextual
040			_aRTL _cRTL
084			_aB2816 Q3 _qRTL
100			_aEvans, Lawrence C _9435824
245			_aAn Introduction to stochastic differential equations
260			_aProvidence, Rhode Island _bAmerican Mathematical Society (AMS) _c2023
300			_aviii, 151p. _bIncludes bibliography, appendix, exercises, notes and index
520			_aThis short book 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 concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Itô stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).
650			_aMathematics
650			_aStochastic differential and integral equations _9751683
650			_aNumerical analysis Probabilistic methods, simulation _9751684
942			_2CC _n0 _cTB _hB2816 Q3
999			_c1308340 _d1308340