Stochastic differential equations and applications

Mao, Xuerong (2007) Stochastic differential equations and applications. Elsevier. ISBN 9781904275343

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This advanced undergraduate and graduate text has now been revised and updated to cover the basic principles and applications of various types of stochastic systems, with much on theory and applications not previously available in book form. The text is also useful as a reference source for pure and applied mathematicians, statisticians and probabilists, engineers in control and communications, and information scientists, physicists and economists.