This follows from the standard existence and uniqueness theory for strong solutions of stochastic differential equations.

The Tsirelson drift, a counterexample in the theory of stochastic differential equations.

In probability theory, a branch of mathematics, a diffusion process is a solution to a stochastic differential equation.

It is also the notation used in publications on numerical methods for solving stochastic differential equations.

The actual random walk obeys a stochastic equation of motion.

His research is in stochastic analysis, particularly the study of stochastic partial differential equations.

This can be proven in the continuous setting and uses basic results in the theory of stochastic differential equations.

The calculus has been applied to stochastic partial differential equations.

It has important applications in mathematical finance and stochastic differential equations.

This stochastic differential equation is solved by variation of parameters.