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Stochastic Differential Equations
[chapter]

1998
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Introduction to Stochastic Calculus with Applications
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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

doi:10.1142/9781908979698_0005
fatcat:foclpo27njcvhjyxe42f2jzlgy