A Crash Introduction to Stochastic Differential Equations

  • Damiano Brigo
  • Fabio Mercurio
Part of the Springer Finance book series (FINANCE)

Abstract

This book uses continuous time stochastic calculus as a mathematical tool for financial modeling. In this appendix we plan to give a quick (informal) introduction to stochastic differential equations (SDEs) for the reader who is not familiar with this field. These notes are far from being complete or fully rigorous, in that we privilege the intuitive aspect, but we give references for the reader who is willing to deepen her knowledge on such matters.

Keywords

Filtration 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    We must point out, anyway, that it is possible to transform an equation written in the Ito form into an equation in the Stratonovich form with the same solution by altering the drift, and vice-versa. This is referred to as the Ito-Stratonovich transformation, see Øksendal (1992), Chapter 3.Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Damiano Brigo
    • 1
  • Fabio Mercurio
    • 1
  1. 1.Banca IMISan Paolo IMI GroupMilanItaly

Personalised recommendations