Lecture 21: Stochastic Differential Equations
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چکیده
Following is a quote from [3]. Stochastic differential equations provide a link between probability theory and the much older and more developed fields of ordinary and partial differential equations. Wonderful consequences flow in both directions. The stochastic modeler benefits from centuries of development of the physical sciences, and many classic results of mathematical physics (and even pure mathematics) can be given new intuitive interpretations. We first state a result saying that SDEs can be solved.
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