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An Introduction to Stochastic Differential Equations Version 1.2

These notes survey, without too many precise details, the basic theory of probability, random differential equations and some applications. Stochastic differential equations is usually, and justly, regarded as a graduate level subject. A really careful treatment assumes the students’ familiarity with probability theory, measure theory, ordinary differential equations, and partial differential equations as well. But as an experiment I tried to design these lectures so that starting graduate students (and maybe really strong undergraduates) can follow most of the theory

Từ khóa: asic probability theory, differential equations, Stochastic differential equation, applications of differential equations, ordinary differential equations, partial differential equations, toán học

130 p tieuhoa 27/01/2013 326 1

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