Stochastic differential equations

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)


In this chapter we present some basic results on stochastic differential equations, hereafter shortened to SDEs, and we examine the connection to the theory of parabolic partial differential equations.


Brownian Motion Weak Solution Cauchy Problem Fundamental Solution Strong Solution 
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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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