A Practical Introduction to Stochastic Differential Equations in Mathematical Biology
Presenter
June 20, 2012
Abstract
Properties of the Wiener process are reviewed and stochastic integration is explained. Stochastic differential equations are introduced and some of their properties
are described. Equivalence of SDE systems is explained. Commonly used numerical
procedures are discussed for computationally solving systems of stochastic differential
equations. A procedure is described for deriving Itˆo stochastic differential equations
from associated discrete stochastic models for randomly-varying problems in biology.
The SDEs are derived from basic principles, i.e., from the changes in the system which
occur in a small time interval. Several examples illustrate the procedure. In particular, stochastic differential equations are derived for predator-prey, competition, and
epidemic problems.