Diffusion amplitude
= Diffusion amplitude
{title2=$dX_t=b(t,X_t)dt+\sigma(t,X_t)dW_t$}
The coefficient $\sigma$ multiplying the <Brownian motion> increment in a scalar <stochastic differential equation>. The local variance rate is $\sigma^2$, and the second-order coefficient in the backward <Kolmogorov backward equation> is $\sigma^2/2$. This distinguishes the amplitude from the physical <diffusion coefficient> convention $D=\sigma^2/2$.