Financial Mathematics (MIT) - 21. Stochastic Differential Equations

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Choongbum Lee This lecture covers the topic of stochastic differential equations, linking probability theory with ordinary and partial differential equations. 00:21 - Stochastic Differential Equations 21:15 - Numerical methods 42:27 - Heat Equation License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu