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.
CITATION STYLE
Hassler, U. (2016). Stochastic Differential Equations (SDE) (pp. 261–283). https://doi.org/10.1007/978-3-319-23428-1_12
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