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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Stochastic differential equations
Probabilistic interpretation of second-order PDEs
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