otherJun 27, 2014Closed access
Introduction to Stochastic Processes
Institute for Cross-Disciplinary Physics and Complex Systems
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Abstract
This chapter contains sections titled: Brownian Motion Stochastic Processes Stochastic Differential Equations White Noise Stochastic Integrals. Itô and Stratonovich Interpretations The Ornstein–Uhlenbeck Process The Fokker–Planck Equation Further Reading and References Exercises
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Keywords
- Stochastic differential equation
- Brownian motion
- Stochastic calculus
- Stochastic process
- White noise
- Geometric Brownian motion
- Continuous-time stochastic process
- Fokker–Planck equation
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