Stochastic Differential Equations: An Introduction with ApplicationsThis book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to start from some basic results (without proofs) of the easier cases and develop the theory from there, and to concentrate on the proofs of the easier case (which nevertheless are often sufficiently general for many purposes) in order to be able to reach quickly the parts of the theory which is most important for the applications. For the 6th edition the author has added further exercises and, for the first time, solutions to many of the exercises are provided. Apart from several minor corrections and improvements, based on useful comments from readers and experts, the most important change in the corrected 5th printing of the 6th edition is in Theorem 10.1.9, where the proof of part b has been corrected and rewritten. The corrected 5th printing of the 6th edition is forthcoming and expected in September 2010. 
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I owe it a lot!
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QA.274.23.O47.2003 from Bowie State, returned 10/16/2007. This is pure mathematics despite the "with Applications". Chapter 1 has a list of application problems, but the rest of the book is pure math with little obvious connection to applications.
Other editions  View all
Stochastic Differential Equations: An Introduction with Applications Bernt Øksendal Limited preview  2010 
Stochastic Differential Equations: An Introduction with Applications Bernt Øksendal Limited preview  2003 
Stochastic Differential Equations: An Introduction with Applications Bernt Oksendal Limited preview  2013 