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Название: Stochastic Differential Equations: An Introduction With Applications
Автор: Oksendal B.
This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new exercises (without solutions) have been added. They have all been placed in the end of each chapter, in order to facilitate the use of this edition together with previous ones.
Several errors have been corrected and formulations have been improved. This has been made possible by the valuable comments from (in alphabetical order) Jon Bohlin, Mark Davis, Helge Holden, Patrick Jaillet, Chen Jing, Natalia Koroleva, Mario Lefebvre, Alexander Matasov, Thilo Meyer-Brandis, Keigo Osawa, Bj0rn Thunestvedt, Jan Ub0e and Yngve Willassen. I thank them all for helping to improve the book.
My thanks also go to Dina Haraldsson, who once again has performed the typing and drawn the figures with great skill.