A Minicourse on Stochastic Partial Di erential Equations

noise analysis and basic stochastic partial di erential equations (SPDEs) in general, and the stochastic heat equation, in particular. The chief aim here is to get to the

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  Equations, Partial, Stochastic, Erential, Minicourse on stochastic partial di erential equations, Minicourse, Stochastic partial di erential equations

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One goal of the lecture is to study stochastic di erential equations (SDE’s). So let us start with a (hopefully) motivating example: Assume that X t is the share price of a company at time t 0 where we assume without loss of generality that X 0:= 1. To get an idea of the dynamics of X let us

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