Stochastic Differential Equations

This edition contains detailed solutions to selected exercises. Many readers have requested this, as it makes the book more suitable for self-study. At the same time, new exercises (without solutions) have been added. They have all been placed at the end of each chapter to facilitate the use of this edition alongside previous ones. Several errors have been corrected, and formulations have been improved. This has been made possible by the valuable comments from Jon Bohlin, Mark Davis, Helge Holden, Patrick Jaillet, Chen Jing, Natalia Koroleva, Mario Lefebvre, Alexander Matasov, Thilo Meyer-Brandis, Keigo Osawa, Bjørn Thunestvedt, Jan Ubøe, and Yngve Williassen. I thank them all for helping to improve the book. My thanks also go to Dina Haraldsson, who once again has performed the typing and drawn the figures with great skill. Blindern, September 2002.