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Название: Stochastic Differential Equations and Diffusion Processes (North-Holland mathematical library)
Авторы: Ikeda N., Watanabe S.
Ikeda and Watanabe's classic text on stochastic calculus is still one of the best books on the subject available. Despite a flood of newer books, written largely in response to the key role played by stochastic calculus in modern finance, the I&W's presentation of many topics is unsurpassed. For example, I find their exposition of the theory of Brownian motion on a Riemannian manifold and of the heat kernel analysis very lucid. The book offers the right level of abstraction and plenty of interesting calculations, making it also appealing to people with applications of stochastic calculus on their mind. On top of it, the price of the book ($25.44 at the time of writing this review) is unbeatable.