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Lecture# FIN-415: Stochastic Calculus Lecture 8

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Gaussian process

In probability theory and statistics, a Gaussian process is a stochastic process (a collection of random variables indexed by time or space), such that every finite collection of those random variabl

Stochastic differential equation

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 also a stochastic process. SDEs have m

Geometric Brownian motion

A geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion

Stochastic process

In probability theory and related fields, a stochastic (stəˈkæstɪk) or random process is a mathematical object usually defined as a sequence of random variables, where the index of the sequence has

Differential equation

In mathematics, a differential equation is an equation that relates one or more unknown functions and their derivatives. In applications, the functions generally represent physical quantities, the

Lectures in same course (29)