5Diffusion processes
5.1 Definition
To simplify notation, we will use the abbreviation 
for the conditional expectation 
, where 
represents some r.v. and 
is a stochastic process. Similarly, for the variance, we use 
as an abbreviation of 
. A similar abbreviation 
will be occasionally used for the conditional probability 
, where 
is some event. We will also indifferently use the notations 
or 
for ...
Get Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
