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Stochastic differential equations and applications. 2nd ed. (English) Zbl 1138.60005

Chichester: Horwood Publishing (ISBN 978-1-904275-34-3/pbk). xviii, 422 p. (2007).
This publication is the second edition of the research monography with the same title by the author in 1997. The respective review [Stochastic differential equations and their applications. Ellis Horwood Series in Mathematics and its Applications. (Chichester): Horwood Publishing. (1997; Zbl 0892.60057)] remains valid, despite the vast amount of literature and research efforts, that have broken loose since then. Apart from a subchapter on option pricing and a new chapter on delay population systems the body of the text stayed mainly unchanged.

MSC:

60-02 Research exposition (monographs, survey articles) pertaining to probability theory
60H05 Stochastic integrals
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65 Brownian motion

Citations:

Zbl 0892.60057
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