Summary

This typographically unaesthetic (because typed) but otherwise very attractive text (corrected and somewhat revised from the edition of 1985) derives from a course for undergraduates which the author (University of Oslo) presented at Edinburgh University in 1982. His objective is to communicate to non-experts a sense of the domain of applications to which the theory of stochastic differential equations most naturally applies, and of the principal components of that theory. In the introductory chapter he poses six illustrative problems, which serve to motivate the theoretical developments (presented sometimes only in outline) which are the subject matter of the succeeding ten chapters. He provides numerous examples but (oddly) no exercises. (NW) Annotation copyrighted by Book News, Inc., Portland, OR