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Introduction to stochastic calculus with applications. 2nd ed. (English) Zbl 1077.60001

London: Imperial College Press (ISBN 1-86094-566-X/pbk; 1-86094-555-4/hbk). xiii, 416 p. (2005).
From the first edition (1998; Zbl 0926.60002), the book has been revised and expanded; in particular, to many topics more worked out examples and exercises are added. Also, solutions to selected exercises are now provided at the end of the book. A new chapter on bonds and interest rates has been included in the applications in finance section. Altogether, the book, as the first edition, is a welcome addition to the literature on stochastic differential equations. The material is presented mathematically rigorous and the examples and exercises are carefully selected to provide additional insight. The book is very readable and can be recommended to be used in lecture courses and for self-study.

MSC:

60-02 Research exposition (monographs, survey articles) pertaining to probability theory
60H05 Stochastic integrals
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes
60J65 Brownian motion
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Citations:

Zbl 0926.60002
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