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two forms of spectral density, how to explain their equivalence?

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#stochastic-analysis #parameter-estimation
287
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convergence to SDE

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
194
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Prove that a martingale with a spatial parameter is differentiable

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#stochastic-calculus #stochastic-analysis #quadratic-variation #stochastic-pde #local-martingales
36
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Dynamics of a future option

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#stochastic-integrals #stochastic-analysis #stochastic-differential-equations
64
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variance of a recursive distribution

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#stochastic-processes #stochastic-calculus #stochastic-analysis
127
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What are the dimensions of the diffusion coefficient in a stochastic differential equation?

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#stochastic-processes #stochastic-calculus #stochastic-analysis
106
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Integral operation on a SDE

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#probability-theory #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
208
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calculate the expected value of the square

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#probability #stochastic-calculus #stochastic-analysis #estimation #stochastic-approximation
1k
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Solving PDE with Feynman-Kac Formula

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#partial-differential-equations #stochastic-processes #expectation #brownian-motion #stochastic-analysis
211
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Are SDE's really "differential"?

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
1.1k
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Simulation of a continous Markov chain in Matlab?

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#stochastic-processes #markov-chains #matlab #markov-process #stochastic-analysis
91
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Issues with notation of Ito Integral

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#stochastic-processes #stochastic-calculus #stochastic-analysis
79
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Random partitions tending to identity

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#probability-theory #stochastic-calculus #stochastic-analysis
91
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Is this the definition of stochastic integral up to a stopping/explosion time?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
290
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Meaning of "intensity measure" for Poisson processes

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#stochastic-processes #terminology #stochastic-calculus #stochastic-analysis #poisson-process

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