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This chapter applies the material presented in the previous chapter to solve and characterize the sample path and distributional dynamics of simple forward and backward stochastic differential equations. A very brief discussion of the problems involved in solving backward equations is offered. Several applications in economics and finance can also be found in this chapter.

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Linear Scalar Stochastic Differential Equations

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  • 发表日期：

    2026年

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  • Paulo B. Brito

摘要

This chapter applies the material presented in the previous chapter to solve and characterize the sample path and distributional dynamics of simple forward and backward stochastic differential equations. A very brief discussion of the problems involved in solving backward equations is offered. Several applications in economics and finance can also be found in this chapter.