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Partial Differential Equations and Diffusion Processes
In mathematics, a partial differential equation (PDE) is a differential equation that contains unknown multivariable functions and their partial derivatives. (This is in contrast to ordinary differential equations, which deal with functions of a single variable and their derivatives.) PDEs are used to formulate problems involving functions of several variables, and are either solved by hand, or used to create a relevant computer model. PDEs...
108 p itc 27/01/2013 324 1
Từ khóa: Partial differential equation, stochastic processes, stochastic calculus, volatility estimation, optimal control, black scholes equation
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