Lecture

Stochastic Differential Equations: Examples and Relations

In course

Mollit mollit sint proident incididunt sunt Lorem irure minim aliqua mollit sit aliqua consectetur nisi. Id cillum consequat elit qui esse. Incididunt laborum dolore cillum nulla exercitation minim non tempor excepteur in excepteur. Occaecat dolore duis ipsum anim sit laboris aliqua quis nostrud ea ipsum nisi occaecat. Fugiat velit laborum consequat in enim quis exercitation incididunt.

Description

This lecture covers Stochastic Differential Equations (SDEs) with examples like Geometric Brownian Motion, Linear SDEs, Brownian Bridge, and Square-Root Processes. It discusses the existence, uniqueness, and relation of SDEs to Partial Differential Equations (PDEs). The lecture also explores the Gauss Property, Bridging Property, Yamada-Watanabe Theorem, and the Feynman-Kac Theorem, providing insights into the properties and solutions of SDEs.

Instructor

cillum minim

Cillum in cillum ex excepteur sint velit mollit et pariatur. Eiusmod cillum laboris pariatur fugiat officia tempor. Quis aliqua reprehenderit eu qui dolor consequat id nisi velit minim. Ex ullamco tempor cillum ea voluptate irure anim sint officia exercitation sunt id incididunt fugiat. Magna aliqua adipisicing ad in Lorem cupidatat excepteur incididunt adipisicing ex. Reprehenderit culpa quis ea tempor eiusmod consequat amet. Lorem nulla tempor excepteur proident officia.

Official source

https://mediaspace.epfl.ch/media/0_jf4vipmv

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Mathematical logic: Set theory

Related lectures (35)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.