#brownian motion #ito #stochastic differential equation #wiener Introduction to stochastic differential equations Stochastic differential equations (SDEs) are basically inhomogenous ordinary differential equations that depend on an external stochastic process. ...
#ito #stochastic differential equation #wiener Kiyoshi Itô, 93, dies November was a rather sad month in the world of stochastic differential equations. In the 26th we were suppose to be celebrating the birth of one of the best mathematicians in history, Norbert … ...
#brownian motion #kolmogorov #simulation #stochastic #wiener Writing bad letters of recommendation: the story of Bachelier and Lévy Take a coin and toss it a number \(N\) of times in a time interval of duration \(T\). Suppose that every time you get head you win \(a\) euros and that you lose the same amount of money when you get … ...