Stochastic Differential Equations
We explore in this chapter questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties. This endeavor is really a study of diffusion processes. Loosely speaking, the term diffusion is attributed to a Markov process which has continuous sample paths and can be characterized in terms of its infinitesimal generator.
KeywordsWeak Solution Stochastic Differential Equation Strong Solution Contingent Claim Local Martingale
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