Stochastic Differential Equations And Applications

This book contains chapters on stochastic processes in both theory and practice in wide-ranging contextual settings.

Authors: Le Gall, Jean-François
Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales
Presents major applications of stochastic calculus to Brownian motion and related stochastic processes
Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

This volume is incorporated contributions from a diverse group of leading researchers in the field of differential equations. This book aims to provide an overview of the current knowledge in the field of differential equations. The book is written primarily for those who have some knowledge of differential equations and mathematical analysis.