Stochastic Difierential Equations
stochastic difierential equation of the form dXt dt = (r +fi ¢Wt)Xt t ‚ 0 ; X0 = x where x;r and fi are constants and Wt = Wt(!) is white noise. This process is often used to model \exponential growth under uncertainty". See Chapters 5, 10, 11 and 12. The flgure is a computer simulation for the case x …
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