Intuitive book for stochastic differential equations

twiceasnice · July 5th, 2010, 9:28 am

Hello, I want to learn about sde's as quickly as possible. I have a first class maths degree from Imperial with a pure background but I am rusty after a year or so out. Please recommend me some textbooks you have found good. In particular I enjoy books which explain intuition behind ideas and concepts rather than just dry definitions and proofs. Ordinarily I wouldn't care but my time is scarce.

Alkmene · July 5th, 2010, 10:58 am

Nefci.

Maelo · July 5th, 2010, 11:58 am

Second that recommendation