Abstract: This chapter begins by studyingWhite noise white noise closely and by introducing the concept ofStochastic differential equation stochastic differential equations (SDE). Different ways of solving such equations are then discussed. Stochastic integration andItô integral Itô integrals are shown together withItô lemma Itô’s lemma for scalar and vector processes. Various stochastic models used in financial applications are illustrated. The connection between deterministicPartial differential equation partial differential equations and SDE’s is indicated. The chapter aims to give just a taste of stochastic calculus/stochastic control and whet the appetite for this broad field. The reader is referred to standard books of reference for an in depth study of the subject matter.
Publication Year: 2017
Publication Date: 2017-12-28
Language: en
Type: book-chapter
Indexed In: ['crossref']
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