Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.

Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduc

This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian mot