Stochastic Differential Equations And Applications

Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs.

This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle.

This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle.

Stochastic Differential Equations for Science and Engineering is aimed at students at the M.Sc. and PhD level. The book describes the mathematical construction of stochastic differential equations with a level of detail suitable to the audience, while also discussing applications to estimation, stability analysis, and control. The book includes numerous examples and challenging exercises. Computational aspects are central to the approach taken in the book, so the text is accompanied by a repository on GitHub containing a toolbox in R which implements algorithms described in the book, code that regenerates all figures, and solutions to exercises.