Overview
- This well-established textbook on stochastic differential equations has turned out to be very useful to non-specialists of the subject and has sold steadily in 5 editions, both in the EU and US market
- Includes supplementary material: sn.pub/extras
Part of the book series: Universitext (UTX)
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Keywords
Table of contents (12 chapters)
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Front Matter
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Back Matter
Reviews
From the reviews of the fifth edition:
"This is a highly readable and refreshingly rigorous introduction to stochastic calculus. … This is not a watered-down treatment. It is a serious introduction that starts with fundamental measure-theoretic concepts and ends, coincidentally, with the Black-Scholes formula as one of several examples of applications. This is the best single resource for learning the stochastic calculus … ." (riskbook.com, 2002)
From the reviews of the sixth edition:
"The book … has evolved from a 200-page typewritten booklet to a modern classic. Part of its charm and success is the fact that the author does not bother too much with the (for the novice) cumbersome rigorous theory … . This does not mean that the book is not rigorous, it is just the timing and dosage of mathematical rigour … that is palatable for undergraduates … . a highly readable account, suitable for self-study and for use in the classroom." (René L. Schilling, The Mathematical Gazette, March, 2005)
"This is the sixth edition of the classical and excellent book on stochastic differential equations. The main difference with the next to last edition is the addition of detailed solutions of selected exercises … . This is certainly an excellent idea in view to test its ability of applications of the concepts … . certainly one of the best books on the subject, it will be very helpful to any graduate students and also very valuable for any analysts of financial market." (Stéphane Métens, Physicalia, Vol. 26 (1), 2004)
"This is now the sixth edition of the excellent book on stochastic differential equations and related topics. … the presentation is successfully balanced between being easily accessible for a broad audience and being mathematically rigorous. The book is a first choice for courses at graduate level in applied stochastic differential equations. The inclusion of detailed solutions to many of theexercises in this edition also makes it very useful for self-study." (Evelyn Buckwar, Zentralblatt MATH, Vol. 1025, 2003)
Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Differential Equations
Book Subtitle: An Introduction with Applications
Authors: Bernt Øksendal
Series Title: Universitext
DOI: https://doi.org/10.1007/978-3-642-14394-6
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2003
Softcover ISBN: 978-3-540-04758-2Published: 15 July 2003
eBook ISBN: 978-3-642-14394-6Published: 09 November 2010
Series ISSN: 0172-5939
Series E-ISSN: 2191-6675
Edition Number: 6
Number of Pages: XXVII, 379
Topics: Analysis, Probability Theory and Stochastic Processes, Theoretical, Mathematical and Computational Physics, Systems Theory, Control, Calculus of Variations and Optimal Control; Optimization, Partial Differential Equations