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2017 | OriginalPaper | Chapter

9. Stochastic Differential Equations

Author : Paolo Baldi

Published in: Stochastic Calculus

Publisher: Springer International Publishing

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Abstract

In this chapter we introduce the notion of a Stochastic Differential Equation. In Sects. 9.4, 9.5, 9.6 we investigate existence and uniqueness. In Sect. 9.8 we obtain some L ^p estimates that will allow us to specify the regularity of the paths and the dependence from the initial conditions. In the last sections we shall see that the solution of a stochastic differential equation is a Markov process and even a diffusion associated to a differential operator that we shall specify.

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Title: Stochastic Differential Equations
Author: Paolo Baldi
Publisher: Springer International Publishing
Book: Stochastic Calculus
Print ISBN: 978-3-319-62225-5

Electronic ISBN: 978-3-319-62226-2

Copyright Year: 2017
DOI: https://doi.org/10.1007/978-3-319-62226-2_9