Stochastic Differential Equations: An Introduction With Applications

by Bernt Øksendal

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 cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. The new feature of this 5th edition is an extra chapter on applications to mathematical finance.

Genres: Mathematics, Finance, Textbooks, Science, Physics, Academic

224 pages, Paperback

First published January 1, 1985

Reviews

[Frank Ashe]

Was working in option pricing, so thought I'd better get an idea of what I was doing.

[Matthew Zhang]

Better than Steele

[Dmitri]

This book is the 'principal' text used by, ahem, everyone in graduate courses that relate to stochastic calculus. It is certainly not a simple text, and requires background knowledge in the areas of (at least) probability/statistics and measure theory, too. It is well structured, very readable, and is an excellent second book after reading something more rudimentary, such as Brownian Motion Calculus.

[Yan Zhu]

It's a very well written book, but to appreciate this book, one still need a good understanding of graduate level probability knowledge, such as martingale, stopping time.

I took out of 1 star after i read this book up to ch10 twice. It's probably a personal reason: the author really leads me to that far in this book, but when i looked back i didn't feel much left in my head...weird?

[Jerzy]

(supposed to be one of the best intros to stochastic calculus out there)

[Alexandra Zhuk]

a great introduction into stochastic differential equations! It was a textbook for the course of SDE at MIPT, prof Bulinski.

[Le Son]

Arguably one of the most important books in the understanding of SDEs.

[Paul]

This book is really dense