Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume

This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic sys

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

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

This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the