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Somebody know a book/text about Stochastic Differential Equations? I'm in the last period of the undergraduate course and I have interest in this field, but my university don't have a specialist in this area. So, I want a book that can introduce me in this field without many difficulty and that permite me study still others more advanced texts. Thanks!

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Here is a free book by Evans:

https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&ved=0CC4QFjAA&url=http%3A%2F%2Fmath.berkeley.edu%2F~evans%2FSDE.course.pdf&ei=AhtsUraRJ87qkAfSp4Bo&usg=AFQjCNE53z56RnKcJrcmImNp4BT4egSFag&sig2=xo7gynJelChMeL0-An8adg

This is also a good text:

http://www.amazon.com/Stochastic-Differential-Equations-Introduction-Applications/dp/3540047581/ref=sr_1_1?ie=UTF8&qid=1382816460&sr=8-1&keywords=stochastic+differential+equations

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  • $\begingroup$ There are plenty of other though but you can look at : Karatzas and Shreve "Brownian Motion and Stochastic Calculus", Protters "stochastic integration and differential equations", or even "Continuous martingales and Brownian motion" by Revuz and Yor and lastly not a book but the blog "almost sure" of George Lowther is really original, self contained, elegant and didactic and treat SDEs. $\endgroup$ – TheBridge Sep 21 '18 at 20:48
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A gentle introduction to the topic of stochastic differential equations can be found in

René L. Schilling/Lothar Partzsch: Brownian Motion - An Introduction to Stochastic Processes

It covers stochastic differential equations driven by Brownian motion.

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