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What's the explicit difference when looking at Differential Equations vs Stochastic Differential Equations?

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#ordinary-differential-equations #statistics #stochastic-calculus
191
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Can someone walk me through this stochastic differential equation?

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-differential-equations
225
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Intuition behind quadratic variation in Brownian motion and $L^2(P)$ convergence for Ito integral

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#stochastic-calculus #brownian-motion #stochastic-integrals
33
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Why do we care about functions of the integrator?

Published on
#probability-theory #stochastic-calculus
494
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What is $E(W_s|W_t)$ , $0<s<t$

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#probability-theory #stochastic-calculus #brownian-motion #conditional-expectation
832
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How to find mean of a stochastic differential equation

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-analysis
35
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Understanding multi-dimensional Linear SDEs

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#reference-request #stochastic-processes #stochastic-calculus
1.6k
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Find the transition probability function P(y,t,x,s) for Brownian motion with drift B(t)+t.

Published on
#probability #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
165
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What converses exists for Martingale representation theorem?

Published on
#stochastic-calculus #finance #martingales #stochastic-integrals #stochastic-analysis
176
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Apparent inconsistency in Skorohod integration

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-integrals #malliavin-calculus
65
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Filtering of OU process - need validation of theoretical developments

Published on
#stochastic-calculus #convolution
53
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Stochastic Differetion Equation and Stopping Time

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#stochastic-calculus #stopping-times
200
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Apply Ito Lemma and find process

Published on
#stochastic-processes #stochastic-calculus
46
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Pathwise closeness of solutions of SDE's

Published on
#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
640
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Laplace Transform of Stopping Time of Brownian Motion

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#measure-theory #stochastic-processes #stochastic-calculus #brownian-motion #stopping-times

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