The Resource An introduction to stochastic differential equations, Lawrence C. Evans
An introduction to stochastic differential equations, Lawrence C. Evans
Resource Information
The item An introduction to stochastic differential equations, Lawrence C. Evans represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item An introduction to stochastic differential equations, Lawrence C. Evans represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 Summary
 "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)."
 Language
 eng
 Extent
 viii, 151 pages
 Contents

 1. Introduction
 2. A crash course in probability theory
 3. Brownian motion and 'white noise'
 4. Stochastic integrals
 5. Stochastic differential equations
 6. Applications
 Isbn
 9781470410544
 Label
 An introduction to stochastic differential equations
 Title
 An introduction to stochastic differential equations
 Statement of responsibility
 Lawrence C. Evans
 Title variation
 Introduction to SDE
 Language
 eng
 Summary
 "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)."
 Assigning source
 Provided by publisher
 Cataloging source
 DLC
 http://library.link/vocab/creatorDate
 1949
 http://library.link/vocab/creatorName
 Evans, Lawrence C.
 Illustrations
 illustrations
 Index
 index present
 Literary form
 non fiction
 Nature of contents
 bibliography
 http://library.link/vocab/subjectName
 Stochastic differential equations
 Label
 An introduction to stochastic differential equations, Lawrence C. Evans
 Bibliography note
 Includes bibliographical references (pages 147148) and index
 Carrier category
 volume
 Carrier category code
 nc
 Carrier MARC source
 rdacarrier.
 Content category
 text
 Content type code
 txt
 Content type MARC source
 rdacontent.
 Contents
 1. Introduction  2. A crash course in probability theory  3. Brownian motion and 'white noise'  4. Stochastic integrals  5. Stochastic differential equations  6. Applications
 Control code
 FIEb1775379x
 Dimensions
 26 cm.
 Extent
 viii, 151 pages
 Isbn
 9781470410544
 Media category
 unmediated
 Media MARC source
 rdamedia.
 Media type code
 n
 Other physical details
 illustrations
 System control number
 (OCoLC)852681899
 Label
 An introduction to stochastic differential equations, Lawrence C. Evans
 Bibliography note
 Includes bibliographical references (pages 147148) and index
 Carrier category
 volume
 Carrier category code
 nc
 Carrier MARC source
 rdacarrier.
 Content category
 text
 Content type code
 txt
 Content type MARC source
 rdacontent.
 Contents
 1. Introduction  2. A crash course in probability theory  3. Brownian motion and 'white noise'  4. Stochastic integrals  5. Stochastic differential equations  6. Applications
 Control code
 FIEb1775379x
 Dimensions
 26 cm.
 Extent
 viii, 151 pages
 Isbn
 9781470410544
 Media category
 unmediated
 Media MARC source
 rdamedia.
 Media type code
 n
 Other physical details
 illustrations
 System control number
 (OCoLC)852681899
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.eui.eu/portal/Anintroductiontostochasticdifferential/bfF9KAbbc/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Anintroductiontostochasticdifferential/bfF9KAbbc/">An introduction to stochastic differential equations, Lawrence C. Evans</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>