An Introduction to Stochastic Differential Equations

摘要: This book provides a quick, but very readable introduction to stochastic differential equations-that is, equations subject additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition mathematical rigour. Topics include quick survey of measure theoretic probability theory, followed by an Brownian motion Ito calculus, finally theory equations. text also includes applications partial equations, optimal stopping problems options pricing.