The author, a lucid mind with a fine pedagogical instinct, haswritten a splendid text. He starts out by stating six problems in theintroduction in which stochastic differential equations play anessential role in the solution. Then, while developing stochasticcalculus, he frequently returns to these problems and variantsthereof and to many other problems to show how the theory works andto motivate the next step in the theoretical development. Needless tosay, he restricts himself to stochastic integration with respect toBrownian motion. He is not hesitant to give some basic resultswithout proof in order to leave room for "some more basicapplications..." The book can be an ideal text for a graduate course,but it is also recommended to analysts (in particular, those workingin differential equations and deterministic dynamical systems andcontrol) who wish to learn quickly what stochastic differentialequations are all about.

Authors: Øksendal B.  Pages: 352 Year: 2000 
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