Abstract
Suppose we want to describe the motion of a small particle suspended in a moving liquid, subject to random molecular bombardments. If b(t, x) ∈ R 3 is the velocity of the fluid at the point x and time t, then a reasonable mathematical model for the position X t of the particle at time t would be a stochastic differential equation of the form.
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© 2003 Springer-Verlag Berlin Heidelberg
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Øksendal, B. (2003). Diffusions: Basic Properties. In: Stochastic Differential Equations. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14394-6_7
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DOI: https://doi.org/10.1007/978-3-642-14394-6_7
Publisher Name: Springer, Berlin, Heidelberg
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