Meest Verkocht Stochastic Differential Equations and Applications, Vol. 1 (Probability & Mathematical Statistics Monograph) – Avner Friedman

This text develops the theory of systems of stochastic differential equations and presents applications in probability, partial differential equations, and stochastic control problems. Originally published in 2 volumes, it combines a book of basic theory with a book of applications. Familiarity with elementary probability is the sole prerequisite. 1975 edition.