
Preface  Preview Material  Table of Contents  Index  Supplementary Material 
2013; 151 pp; softcover ISBN10: 1470410540 ISBN13: 9781470410544 List Price: US$34 Member Price: US$27.20 Order Code: MBK/82 See also: Markov Chains and Mixing Times  David A Levin, Yuval Peres and Elizabeth L Wilmer Analysis: Second Edition  Elliott H Lieb and Michael Loss Probability Theory in Finance: A Mathematical Guide to the BlackScholes Formula, Second Edition  Sean Dineen  These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to nonspecialists and make a valuable addition to the collection of texts on the topic. Srinivasa Varadhan, New York University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only a basic background in mathematical analysis and probability. George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch This 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). Request an examination or desk copy. Readership Undergraduate and graduate students interested in probability theory and stochastic differential equations. 


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