Stochastic Differential Equations (SDE)

Uwe Hassler

Chapter 12 in Stochastic Processes and Calculus, 2016, pp 261-283 from Springer

Abstract: Abstract In the following section we discuss the most general stochastic differential equation considered here, whose solution is a diffusion. Then, linear differential equations (with variable coefficients) will be studied extensively. Here we obtain analytical solutions by Ito’s lemma. We discuss special cases that are widespread in the literature on finance. In the fourth section we turn to numerical solutions allowing to simulate processes.

Keywords: General Stochastic Differential Equation; Linear Deterministic Equation; Deterministic Example; Quotient Rule; Stochastic Ones (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-23428-1_12

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DOI: 10.1007/978-3-319-23428-1_12

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