Stochastic differential equations

This collection brings together fifteen papers by specialists in stochastic analysis. Its opening contribution, by N. V. Krylov and B. L. Rozovskii, first appeared in Russian in 1979 and is still a go-to source on stochastic partial differential equations (SPDEs). The paper includes a concise yet careful primer on SPDEs and establishes a set of sharp solvability results covering a broad family of linear and nonlinear equations that remain difficult to improve.

The remaining chapters were written specifically to mark Professor Rozovskii's 60th birthday. Their authors explore a range of questions in both the theory and the applications of stochastic differential equations, covering ordinary equations as well as those involving partial derivatives.