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Lecture 46: stochastic differential equations

Stochastic differential equations in multidimensional spaces. Existence and uniquess theorem. Nonexistence: explosion time.

From  Tiziano Vargiolu 12 plays 0  

Lecture 20: stochastic differential equations

Definition of strong and of pathwise unique solution, existence and uniqueness theorem.

From  Tiziano Vargiolu 25 plays 0