Abstract
In this chapter, we consider the stochastic differential equations of diffusion type and present a result on the existence and uniqueness of solution. We also prove a version of the Feynman—Kac formula.
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© 2000 Springer Science+Business Media New York
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Kallianpur, G., Karandikar, R.L. (2000). Stochastic Differential Equations. In: Introduction to Option Pricing Theory. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0511-1_4
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DOI: https://doi.org/10.1007/978-1-4612-0511-1_4
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-6796-6
Online ISBN: 978-1-4612-0511-1
eBook Packages: Springer Book Archive