Book of Donmon Teith

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo

These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for model

Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic

Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale f