The average rating for Theory and applications of stochastic differential equations based on 2 reviews is 3 stars.
Review # 1 was written on 2012-12-29 00:00:00 William Martin Was working in option pricing, so thought I'd better get an idea of what I was doing. |
Review # 2 was written on 2018-07-23 00:00:00 Robert Schaefer This book is the 'principal' text used by, ahem, everyone in graduate courses that relate to stochastic calculus. It is certainly not a simple text, and requires background knowledge in the areas of (at least) probability/statistics and measure theory, too. It is well structured, very readable, and is an excellent second book after reading something more rudimentary, such as Brownian Motion Calculus. |
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