Stochastic differential equations
Relationship between probabilities and partial differential equations
Article REF: A565 V1
Stochastic differential equations
Relationship between probabilities and partial differential equations

Author : Jean-Pierre FOUQUE

Publication date: April 10, 1996 | Lire en français

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3. Stochastic differential equations

We give here the basic principles of Itô's stochastic integration and recall Itô's fundamental formula. The Markov processes used to solve the PDEs considered in the next paragraph are introduced here as solutions of stochastic differential equations, for which we make the connection with the Kolmogorov and Fokker-Planck equations.

3.1 More on Itô's stochastic integral

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3.1.1 Martingale property

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