**Lectures on Topics in Stochastic Differential Equations**

by Daniel W. Stroock

**Publisher**: Tata Institute of Fundamental Research 1982**ISBN/ASIN**: 3540115498**ISBN-13**: 9783540115496**Number of pages**: 93

**Description**:

The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.

Download or read it online for free here:

**Download link**

(400KB, PDF)

## Similar books

**Lectures on Singular Stochastic PDEs**

by

**M. Gubinelli, N. Perkowski**-

**arXiv**

The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.

(

**2450**views)

**Introduction to Stochastic Processes**

by

**Gordan Žitković**-

**The University of Texas at Austin**

Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.

(

**4001**views)

**Applied Stochastic Processes in Science and Engineering**

by

**Matt Scott**-

**University of Waterloo**

This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.

(

**3628**views)

**Stochastic Differential Equations: Models and Numerics**

by

**Anders Szepessy, et al.**-

**KTH**

The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.

(

**3417**views)