Ikeda Watanabe Stochastic Differential Equations And Diffusion Processes Pdf -

dX(t) = b(X(t),t)dt + σ(X(t),t)dW(t)

A very specific and interesting topic!

The Ikeda-Watanabe SDEs are a class of SDEs that describe the evolution of a stochastic process in terms of a deterministic drift term, a diffusion term, and a stochastic integral. Specifically, the Ikeda-Watanabe SDE is given by: