Introduction to Stochastic Calculus and Stochastic Differential Equations

Paulo Brito

Chapter Chapter 17 in Economic Dynamics and Distributions, 2026, pp 493-517 from Springer

Abstract: Abstract This chapter presents an introduction to stochastic calculus for processes in continuous time and continuous event spaces. Starting from the Wiener process, it introduces the basic definitions and formulas of the Itô calculus and processes, and the distributional dynamics tools for their characterization, in particular the Fokker-Planck-Kolmogorov and the backward Kolmogorov equations.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-031-94717-9_17

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DOI: 10.1007/978-3-031-94717-9_17

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