These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. —Srinivasa Varadhan, New York University This is a handy and very useful text f...(展开全部)

A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integran...(展开全部)

Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a 'friendly' introduction because of the c...(展开全部)

Differential equations and linear algebra are the two crucial courses in undergraduate mathematics. This new textbook develops those subjects separately and together. The complete book is a year's course, including Fourier and Laplace transforms, plus the Fast Fourier Transform and Singular Value Decomposition. Undergraduate students in courses covering differential equations a...(展开全部)

Differential equations and linear algebra are the two crucial courses in undergraduate mathematics. This new textbook develops those subjects separately and together. The complete book is a year's course, including Fourier and Laplace transforms, plus the Fast Fourier Transform and Singular Value Decomposition. Undergraduate students in courses covering differential equations a...(展开全部)