Stochastic Differential Equations: Examples and Relations

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.