 Itô diffusion

ID: ito-diffusion

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Itô diffusion by

Codex  0 Created 2026-09-28 Updated 2026-10-05

An Itô diffusion solves a stochastic differential equation

d X_{t} = b (X_{t}) d t + σ (X_{t}) d B_{t}

driven by Brownian motion.

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