5 articles
Backward stochastic differential equation
A backward stochastic differential equation (BSDE) is a stochastic equation solved backward from a terminal condition, used in finance, optimal control, and gene expression modeling.
Geometric Brownian motion
Geometric Brownian motion, also known as exponential Brownian motion, is a continuous-time stochastic process, always positive, that serves as the standard model for asset prices and underlies the Black–Scholes option pricing model.
Heston model
The Heston model is a stochastic volatility model in mathematical finance in which an asset's variance is itself random and mean-reverting, introduced by Steven Heston in 1993.
Multiplicative noise
Multiplicative noise is random forcing whose amplitude depends on the state of the system it perturbs, unlike additive noise, which has a constant amplitude. It appears in stochastic differential and partial differential equations.
Stochastic differential equation
A stochastic differential equation (SDE) is a differential equation containing a stochastic process, typically a drift term plus noise driven by Brownian motion, used in finance, biology, and physics.