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A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is itself a stochastic process. SDEs are used to model diverse phenomena such as fluctuating stock prices or physical systems subject to thermal fluctuations. Typically, SDEs incorporate random white noise which can be thought of as the derivative of Brownian motion (or the Wiener process); however, it should be mentioned that other types of random fluctuations are possible, such as jump processes.


Stochastic differential equation sections
Intro  Background  Use in physics  Use in probability and mathematical finance  Existence and uniqueness of solutions  See also  References  Further Readings  

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A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is itself a stochastic process. SDEs are used to model diverse phenomena such as fluctuating stock prices or physical systems subject to thermal fluctuations. Typically, SDEs incorporate random white noise which can be thought of as the derivative of Brownian motion (or the Wiener process); however, it should be mentioned that other types of random fluctuations are possible, such as jump processes.


Stochastic differential equation sections
Intro  Background  Use in physics  Use in probability and mathematical finance  Existence and uniqueness of solutions  See also  References  Further Readings  

PREVIOUS: IntroNEXT: Background
<<>>