::Stochastic differential equation
::concepts
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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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Equation::process Solution::''t'' Function::calculus Mathrm::''x'' Title::langevin Sigma::which
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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: Intro | NEXT: Background |
| << | >> |