Self-study material - Nonlinear SDEs

Nonlinear SDEs

*If you can stand the computer generated voice, you might enjoy this short video about the difference between Ito and Stratonovich definitions of stochastic integralsLink Links to an external site.

* You might perhaps also find the entire video series interesting. Links to an external site.

Download * This text about the Fokker-Planck equation

gives more details, and also discusses the Feller conditions.

* The report Download "On Boundary Behaviour of One-dimensional Diffusions: From Brown to Feller and Beyond

" Peskir 2014, gives more details about  Feller boundary  conditions also for more advanced situations.

* This lecture about the Fokker-Planck equation Links to an external site. gives some further connections  in mathematics and physics (by Pavliotis, Imperial College, Cambridge)

* For advanced and ambitious students, Download these lecture notes by Pavliotis, Imperial College,

might be an entrance for further study.

 

Black-Schole's equation

Explaining the BS equations in 1min Links to an external site.

BS formula explained in 3 min Links to an external site.Black-Scholes-Merton Formula explained in 3 min

This short note Links to an external site. from the course page https://cims.nyu.edu/~obuhler/Oliver_Buhler/Teaching_12_Spring.html Links to an external site.gives some further discussion of the Black-Schole's equations 

This video gives some further explanation of BS Link Links to an external site.