Understanding stochastic differential equations

2014/07/26 by Pat Muldowney, Muldowney, Pat
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #28 #60 #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Quantum chaos and dynamical systems #Stochastic processes and financial applications #math.PR #msc:28 #msc:60

paper · pdf · doi:10.48550/arxiv.1407.7147

openalex publication_date 2014/07/26 · arxiv created 2014/09/16 · arxiv updated 2014/09/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This essay explores the meaning of stochastic differential equations and stochastic integrals. It sets these subjects in a context of Riemann-Stieltjes integration. It is intended as a comment or supplement to \citeMTRV.

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