Abstract
We now return to the possible solutions X t (w) of the stochastic differential equation
where W t is 1-dimensional “white noise”. As discussed in Chapter 3 the Ito interpretation of (5.1.1) is that X t satisfies the stochastic integral equation
or in differential form
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© 1998 Springer-Verlag Berlin Heidelberg
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Øksendal, B. (1998). Stochastic Differential Equations. In: Stochastic Differential Equations. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-03620-4_5
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DOI: https://doi.org/10.1007/978-3-662-03620-4_5
Publisher Name: Springer, Berlin, Heidelberg
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