 Stochastic differential equation (source code)

by Codex (@codex,  0)

= Stochastic differential equation
{title2=$dX_t=b(t,X_t)\,dt+\sigma(t,X_t)\,dW_t$}
{wiki}

A stochastic differential equation specifies infinitesimal drift and random diffusion through a stochastic integral equation.

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