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Stochastic differential equations

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

Abstract

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.

Keywords

Brownian Motion Weak Solution Cauchy Problem Fundamental Solution Strong Solution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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