Applied Stochastic Differential Equations

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Applied Stochastic Differential Equations
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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
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Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are u
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These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo