Stochastic Differential Equations

  • J. Michael Steele
Part of the Applications of Mathematics book series (SMAP, volume 45)


Virtually all continuous stochastic processes of importance in applications satisfy an equation of the form
$$d{X_t} = \mu (t,{X_t})dt + \sigma (t,{X_t})d{B_t}with\;{X_0} = {x_0}$$


Brownian Motion Gaussian Process Stochastic Differential Equation Uniqueness Theorem Risky Asset 
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Copyright information

© Springer-Verlag New York, Inc. 2001

Authors and Affiliations

  • J. Michael Steele
    • 1
  1. 1.The Wharton School, Department of StatisticsUniversity of PennsylvaniaPhiladelphiaUSA

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