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Cédric Archambeau
drift
diffusion
To be interpreted as…
Ito integral:
Martingale property
Zero-mean random variable
Equality in mean square sense
Linear stochastic differential equations
Solution:
Means:
Variances:
General solution to a linear SDE
Fundamental solution:
Conditions:
is a diffusion process.
A solution is a strong solution if it is valid for each given Wiener process (and
initial value), that is it is sample pathwise unique.
Who?
When?
Where?
How?
References
P. Kloeden and E. Platen: Numerical Solutions to Stochastic Differential Equations.
Springer-Verlag, 1999 (3rd edition).