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Stochastic differential equations. An introduction with applications. 2nd ed. (English) Zbl 0694.60046

Universitext. Berlin etc.: Springer-Verlag. xv, 186 p. DM 48.00 (1989).
The second edition is a revised and slightly expanded version of the first, 1985-edition, see the review Zbl 0567.60055. Chapter VII (“diffusions”) of the first edition has been split into two chapters - one on basic properties and one on more advanced topics. Notable extensions of the first edition are a section on the martingale problem approach and an additional appendix on uniform integrability and martingale convergence.
Reviewer: M.Scheutzow

MSC:

60Hxx Stochastic analysis
60-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60G35 Signal detection and filtering (aspects of stochastic processes)
93E20 Optimal stochastic control

Citations:

Zbl 0567.60055
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