Stochastic differential equations and applications

Research output: Book/ReportBook

1616 Citations (Scopus)


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.
Original languageEnglish
Number of pages440
Publication statusPublished - Dec 2007


  • Brownian motion
  • stochastic integrals
  • stochastic oscillators
  • stochastic neural networks


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