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 in order to quickly progress to the parts of the theory that are most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided.
| ISBN: | 9783540047582 |
| Publication date: | 15th July 2003 |
| Author: | Bernt Øksendal |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 360 pages |
| Series: | Universitext |
| Genres: |
Calculus and mathematical analysis Differential calculus and equations Stochastics Cybernetics and systems theory Mathematical physics Probability and statistics Optimization |