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5.0 out of 5 stars Great book to get back into stochastic calculous, 1 Nov 2013
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This review is from: Stochastic Differential Equations: An Introduction with Applications (Universitext) (Paperback)
A bit basic for advanced calculous, a bit complicated for newcomers, but if you are using stochastic calculous every now and then and need to stay "fresh" it's perfect.
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5.0 out of 5 stars ito or Stratonovich, 22 Sep 2012
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This review is from: Stochastic Differential Equations: An Introduction with Applications (Universitext) (Paperback)
There are two dominating versions of stochastic calculus, the Ito stochastic calculus and the Stratonovich stochastic calculus. Each of the two has advantages and disadvantages, and newcomers are often confused whether the one is more appropriate than the other in a given situation. Brief guidelines exists in this book, and therefore after reading this book one can readily convert an Ito SDE to an equivalent Stratonovich SDE and back again.
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5.0 out of 5 stars Very good book if you need to learn the subject of SDE's, 18 April 2011
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Mr. Mariusz Siomak (London, UK) - See all my reviews
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This review is from: Stochastic Differential Equations: An Introduction with Applications (Universitext) (Paperback)
This book is very well placed on the difficulty scale. It does require some mathematical background (mainly probability and measure theory) but it does not leave the reader on their own with the difficult material. It is a textbook with a lot of comments, examples and worked exercises and it is very practical as well (it the sense that unlike some other books it is not a theory of everything that can be said about the subject but the author selected the most important results and presented them in a very attainable form). The reader may sometimes have an impression that some explanations could be more detailed but I found those little gaps an enjoyable exercise when reading.
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5.0 out of 5 stars Decent, thorough introduction to SDEs, 13 Sep 2010
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This review is from: Stochastic Differential Equations: An Introduction with Applications (Universitext) (Paperback)
This book is pitched at the "first year graduate" level, meaning that it is a lot more accessible than a lot of the other books on the subject. At the same time, as other reviewers pointed out, there is no point trying to read such a book unless you do have a maths-degree-level knowledge of probability already.

I would highly recommend this book. It is a bit light on rigour in some of the early sections, but unless your goal is to be a stochastic analysis theorist, that is not a huge omission. For me it was a very enjoyable introduction to the subject. It's definitely not a 'reference' as someone else described it - this is a textbook, meant for learning from.

It covers the Kalman filter and Black-Scholes (one chapter each).
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Stochastic Differential Equations: An Introduction with Applications (Universitext)
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