Ikeda Watanabe Stochastic Differential Equations And Diffusion Processes Pdf -

Diffusion processes are a type of stochastic process that describes the evolution of a system over time, where the system's state changes continuously in response to random fluctuations. Diffusion processes are widely used in physics, chemistry, and biology to model phenomena such as particle diffusion, heat conduction, and population growth.

where X(t) is the stochastic process, b(X(t),t) is the drift term, σ(X(t),t) is the diffusion term, and W(t) is a Wiener process (also known as a Brownian motion). Diffusion processes are a type of stochastic process

dX(t) = b(X(t),t)dt + σ(X(t),t)dW(t)