© 2003

Stochastic Differential Equations

An Introduction with Applications


  • This well-established textbook on stochastic differential equations has turned out to be very useful to non-specialists of the subject and has sold steadily in 5 editions, both in the EU and US market


Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XXXI
  2. Bernt Øksendal
    Pages 1-5
  3. Bernt Øksendal
    Pages 7-20
  4. Bernt Øksendal
    Pages 21-42
  5. Bernt Øksendal
    Pages 65-84
  6. Bernt Øksendal
    Pages 85-114
  7. Bernt Øksendal
    Pages 115-140
  8. Bernt Øksendal
    Pages 141-180
  9. Bernt Øksendal
    Pages 181-211
  10. Bernt Øksendal
    Pages 213-242
  11. Bernt Øksendal
    Pages 243-268
  12. Bernt Øksendal
    Pages 269-313
  13. Back Matter
    Pages 315-379

About this book


Boundary value problem Martingale Random variable Stochastic calculus Uniform integrability differential equations filtering problem filtering theory linear optimization mathematical finance optimal filtering stochastic control stochastic differential equations

Authors and affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway

Bibliographic information

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From the reviews of the fifth edition:

"This is a highly readable and refreshingly rigorous introduction to stochastic calculus. … This is not a watered-down treatment. It is a serious introduction that starts with fundamental measure-theoretic concepts and ends, coincidentally, with the Black-Scholes formula as one of several examples of applications. This is the best single resource for learning the stochastic calculus … ." (, 2002)

From the reviews of the sixth edition:

"The book … has evolved from a 200-page typewritten booklet to a modern classic. Part of its charm and success is the fact that the author does not bother too much with the (for the novice) cumbersome rigorous theory … . This does not mean that the book is not rigorous, it is just the timing and dosage of mathematical rigour … that is palatable for undergraduates … . a highly readable account, suitable for self-study and for use in the classroom." (René L. Schilling, The Mathematical Gazette, March, 2005)

"This is the sixth edition of the classical and excellent book on stochastic differential equations. The main difference with the next to last edition is the addition of detailed solutions of selected exercises … . This is certainly an excellent idea in view to test its ability of applications of the concepts … . certainly one of the best books on the subject, it will be very helpful to any graduate students and also very valuable for any analysts of financial market." (Stéphane Métens, Physicalia, Vol. 26 (1), 2004)

"This is now the sixth edition of the excellent book on stochastic differential equations and related topics. … the presentation is successfully balanced between being easily accessible for a broad audience and being mathematically rigorous. The book is a first choice for courses at graduate level in applied stochastic differential equations. The inclusion of detailed solutions to many of the exercises in this edition also makes it very useful for self-study." (Evelyn Buckwar, Zentralblatt MATH, Vol. 1025, 2003)