by Alan Bain
Number of pages: 99
These notes provide a very informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is often little or no comment on more standard matters.
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by Matt Scott - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
by Oliver Knill - Overseas Press
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
by S. Watanabe - Tata Institute of Fundamental Research
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
by Anders Szepessy, et al. - KTH
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.