Abstract
In this chapter we introduce the basic concepts of probability and stochastic processes such as Wiener process and Poisson process. Next, we present some basic concepts of stochastic calculus and discuss stochastic differential equations, in particular, such fundamental topics as Itô’s Lemma and forward and backward Kolmogorov equations.
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© 2015 Springer International Publishing Switzerland
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Avramidi, I.G. (2015). Stochastic Processes. In: Heat Kernel Method and its Applications. Birkhäuser, Cham. https://doi.org/10.1007/978-3-319-26266-6_7
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DOI: https://doi.org/10.1007/978-3-319-26266-6_7
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Publisher Name: Birkhäuser, Cham
Print ISBN: 978-3-319-26265-9
Online ISBN: 978-3-319-26266-6
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