# An Introduction to Stochastic Differential Equations

@inproceedings{Evans2014AnIT, title={An Introduction to Stochastic Differential Equations}, author={L. Evans}, year={2014} }

This book provides a quick, but very readable introduction to stochastic differential equations-that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic… Expand

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