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How would I derive the Heun scheme for stochastic differential equations?

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#stochastic-processes #stochastic-calculus #stochastic-differential-equations
53
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How to evaluate $\lim_{n \to \infty} \sum_{j=1}^n |f(\frac{j}{n}) - f(\frac{j-1}{n})|^{3/2}$?

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#calculus #sequences-and-series #stochastic-calculus #brownian-motion
108
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nonlinear stochastic differential equation

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#stochastic-calculus #stochastic-differential-equations
49
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Ito's lemma on $Z_t = t^2B_t - 2\int^t_0sB_sds$

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#stochastic-calculus
65
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Does the Itô integral rely on the martingale structure of the driving Brownian motion?

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
56
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If an SDE is driven by a Brownian motion, do their filtrations contain the same information?

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#stochastic-processes #stochastic-calculus #brownian-motion
66
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What is the correct of the Kolomogorov backwards equation corrosponding to an Ito Stochastic Differential Equation

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#partial-differential-equations #stochastic-calculus #stochastic-differential-equations
17
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Estimating jump diffusion parameters from first passage time data?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
57
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Martingale representation of bounded stochastic variable

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#stochastic-calculus #martingales
174
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How to solve the following inverse-time non-linear vector SDE?

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#partial-differential-equations #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
62
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Rigorous extension of Stochastic Integral for processes with $E[\int^{T_n}_0 X_t^2 dt ] < \infty$, $ \forall n \geq 0 $

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals
56
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Conditional expectation of a Ito process

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#stochastic-processes #stochastic-calculus #stochastic-differential-equations
61
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Itô's formula for a reflected Brownian Motion

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
34
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Stopping time of a martingale $Y_n=e^{S_n}$

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#stochastic-calculus #martingales #stopping-times
44
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$L^p$ stochastic processes and boundedness

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#measure-theory #stochastic-processes #stochastic-calculus #stochastic-integrals

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