Stochastic Calculus

mhm.. Re-implement this Python code in your favorite language, then read about Brownian motion and clarify all terms for you that you don't understand

https://en.wikipedia.org/wiki/Euler%E2%80%93Maruyama_method

>>8151888
Yeah, plenty of textbooks that teach it in a non-measure-theoretic manner. You'll just need good knowledge of probability, and skills in calculus.

>>8151906
Interesting, thank you. I already read about the derivation of the stochastic DE:

[eqn] \mathrm{d} X_t = \mu X_t \mathrm{d} t + \sigma X_t \mathrm{d} B_t [/eqn]

I think I can program the thing from the link in MATLAB.

>>8151907
>You'll just need good knowledge of probability, and skills in calculus.

That's something I got. Do you have any specific recommendations?

bumpity bump

Why not discrete Markov chains ? This is stuff you can actually study in-depth with very little measure theoretic background and that would give you some intuition for how Brownian motion works

also bumping

>>8153487
SDEs got my interest for some reason, also we covered some Markov Chain theory and Brownian Motion in class.

The project is not for a grade, it's optional for people who did well in the probability course and want to expand a bit for an extra credit point. It's supposed to be something that's taken you around 25 hours to do.

yeah you can learn some of the results with an approxmating theory called the binomial model (in finance).

you wouldn't be able to do that much though.

>>8154382
Looks interesting, thanks.