Thygesen U. Stochastic Differential Equations for Science and Engineering 2023

Textbook in PDF format

Stochastic Differential Equations for Science and Engineering is aimed at students at the M.Sc. and PhD level. The book describes the mathematical construction of stochastic differential equations with a level of detail suitable to the audience, while also discussing applications to estimation, stability analysis, and control. The book includes numerous examples and challenging exercises. Computational aspects are central to the approach taken in the book, so the text is accompanied by a repository on GitHub containing a toolbox in R which implements algorithms described in the book, code that regenerates all figures, and solutions to exercises.
Features:
Contains numerous exercises, examples, and applications.
Suitable for science and engineering students at Master’s or PhD level.
Thorough treatment of the mathematical theory combined with an accessible treatment of motivating examples.
GitHub repository available at: https://github.com/Uffe-H-Thygesen/SDEbook and https://github.com/Uffe-H-Thygesen/SDEtools