Stochastic Differential Equations

  • Paolo Baldi
Part of the Universitext book series (UTX)


In this chapter we introduce the notion of a Stochastic Differential Equation. In Sects. 9.4, 9.5, 9.6 we investigate existence and uniqueness. In Sect. 9.8 we obtain some L p estimates that will allow us to specify the regularity of the paths and the dependence from the initial conditions. In the last sections we shall see that the solution of a stochastic differential equation is a Markov process and even a diffusion associated to a differential operator that we shall specify.


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© Springer International Publishing AG 2017

Authors and Affiliations

  • Paolo Baldi
    • 1
  1. 1.Dipartimento di MatematicaUniversità di Roma “Tor Vergata”RomaItaly

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