Stochastic differential equations. An introduction with applications. (Q5917702)

It is a rare case for one book to have 4 editions during a short time period of 10 years. And the book under review is just the case. [For the former editions (1985, 1989, 1992) see Zbl 0567.60055, Zbl 0694.60046, and Zbl 0747.60052, respectively.] There are of course reasons for that and we find them when opening and reading the book. The book is so well organized and well written that a wide circle of readers will benefit much of using it. Perhaps the main audience consists of graduate students in the field of probability, statistics, stochastic processes and related topics. In fact this book is devoted to stochastic analysis which became so popular in the last three decades. The author follows a modern approach providing the readers with the background and techniques which are necessary to go from the beginning level to advanced level. Moreover, in a smooth way the reader enters to other areas of current interest, theoretical and applied. The author presents and explains with complete proofs some of the most important problems, results and methods in stochastic analysis. Now a larger number of exercises is included but also solutions and hints are given. This edition compared with the previous ones contains several new topics, among them are martingale representation theory, optimal stopping problems treated by variational inequalities, stochastic control problems with terminal conditions. Other topics are essentially extended. This book demonstrates that stochastic analysis is a well developed and a beautiful mathematical theory with a large number of important applications, e.g. in economics, biology, finance, etc. The price is reasonable, so not only libraries but many individuals will buy this excellent textbook. No doubt that this edition will be as successful as the previous ones.