Author: Lawrence Evans
Type: Study Notes, Lecture Notes
Type: Advanced Undergraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
These lecture notes for the course "An Introduction to Stochastic Differential Equations" from Lawrence Evans are a not-so-long introduction to stochastic differential equations (SDEs). The lecture notes start with "A crash course in basic probability theory". After the necessary background, Brownian motion and stochastic processes follow. Stochastic integrals and Itō's lemma are covered next with SDEs to follow. Finally, there are some applications such as optimal stopping and Options Pricing.
Type: Study Notes, Lecture Notes
Type: Advanced Undergraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
These lecture notes for the course "An Introduction to Stochastic Differential Equations" from Lawrence Evans are a not-so-long introduction to stochastic differential equations (SDEs). The lecture notes start with "A crash course in basic probability theory". After the necessary background, Brownian motion and stochastic processes follow. Stochastic integrals and Itō's lemma are covered next with SDEs to follow. Finally, there are some applications such as optimal stopping and Options Pricing.
You can download Lawrence Evans' "An Introduction to Stochastic Differential Equations" using the link that follows
An Introduction to Stochastic Differential Equations
Lawrence Evans is professor of Mathematics at the University of California, Berkeley.
Webpage:
http://math.berkeley.edu/~evans/
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