Stochastic Differential Equations [chapter]

1998 Introduction to Stochastic Calculus with Applications  
Discretized Brownian Motion Discretized Brownian motion over [0, T ] in N steps: a sequence of random variable W j = W (t j ), where δt = T /N and t j = j δt, such that 1 W (0) = 0 with probability 1. Discretized Brownian Motion Discretized Brownian motion over [0, T ] in N steps: a sequence of random variable W j = W (t j ), where δt = T /N and t j = j δt, such that 1 W (0) = 0 with probability 1. Discretized Brownian Motion Discretized Brownian motion over [0, T ] in N steps: a sequence of
more » ... s: a sequence of random variable W j = W (t j ), where δt = T /N and t j = j δt, such that 1 W (0) = 0 with probability 1. Discretized Brownian Motion Discretized Brownian motion over [0, T ] in N steps: a sequence of random variable W j = W (t j ), where δt = T /N and t j = j δt, such that 1 W (0) = 0 with probability 1.
doi:10.1142/9781908979698_0005 fatcat:foclpo27njcvhjyxe42f2jzlgy