Stochastic Differential Equations
★★★★★Graduate+
📖Definition
Differential equations with random noise term
📐Formulas
dX = μ(X,t)dt + σ(X,t)dW
Geometric Brownian: dS = μS dt + σS dW
Solution: S(t) = S(0)exp((μ-σ²/2)t + σW(t))
✏️Examples
예제 1
Stock price model
예제 2
Interest rate model
예제 3
Population dynamics
⚡Applications
Finance
Physics
Biology
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