Stochastic Differential Equations [chapter]

2005 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:10.1142/9781860946837_0005 fatcat:ytweljgbafahfmzz4lativk7da