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Stochastic Differential Equations

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Prove by differentiation that if D is a constant, the function

f(x,t) = 1/(sqrt(2*pi*D*t)) * e^ ((-x^2)/(2Dt))

is a solution of the differential equation

(delta f)/(delta t) = D/2 * (delta^2 f)/(delta x^2)

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This solutionexplanations the calculations for Stochastic Differential Equations in an attached Word document.

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