Linear Scalar Stochastic Differential Equations

Paulo Brito

Chapter Chapter 18 in Economic Dynamics and Distributions, 2026, pp 519-536 from Springer

Abstract: Abstract This chapter applies the material presented in the previous chapter to solve and characterize the sample path and distributional dynamics of simple forward and backward stochastic differential equations. A very brief discussion of the problems involved in solving backward equations is offered. Several applications in economics and finance can also be found in this chapter.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-031-94717-9_18

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DOI: 10.1007/978-3-031-94717-9_18

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