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

Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are u

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas

This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of m

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