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Stochastic Differential Equations: An Introduction with Applications
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cas...more
Paperback, 404 pages
Published
June 12th 2005
by Springer
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From the cover, one can infer that this book means business. Some books still try to be artistic to attract audiences, whereas this book does away with a creative cover altogether. How often do you see that a book's cover contains five sample paths of a geometric Brownian Motion? Inside, Oksendal writes very clearly and uses the same format throughout. Although the topic is not the easiest to understand, you can acquire the skills that would allow you to gain sufficient knowledge of stochastic d...more
(supposed to be one of the best intros to stochastic calculus out there)
This book is really dense
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