List questions from stochastic-differential-equations

Published on 17 Mar 2026 - 12:25

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Uniqueness of the parameters of an Ito process, given initial and terminal conditions

Published on 17 Mar 2026 - 7:07

224

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$dX_t=\alpha X_t \,dt + \sqrt{X_t} \,dW_t, $ with $X_0=x_0,\,\alpha,\sigma>0.$ Compute $E[X_t] $ and $E[Y]$ for $Y=\lim_{t\to\infty}e^{-\alpha t}X_t$

Published on 17 Mar 2026 - 9:19

2.3k

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Initial Distribution of Stochastic Differential Equations

Published on 17 Mar 2026 - 12:44

35

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(In)dependence of solutions to certain SDEs

Published on 17 Mar 2026 - 9:53

141

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Expectation, supremum and convergence.

Published on 17 Mar 2026 - 9:25

331

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Integral of a sum dependent on the variable of integration

Published on 17 Mar 2026 - 14:36

228

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Solving of enhanced Hull-White $dX_t = \frac{e^t-X_t}{t-2}dt + tdW_t$

Published on 17 Mar 2026 - 8:21

212

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Closed form of a SDE

Published on 17 Mar 2026 - 9:04

117

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Matricial form of multidimensional GBM

Published on 17 Mar 2026 - 5:38

130

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Solve SDE and its formal solution

Published on 22 Mar 2026 - 11:25

2.7k

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How to solve the SDE: $dX_t = aX_t dt + b \sqrt{X_t} dW_t$

Published on 20 Mar 2026 - 18:42

90

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Compute the expectation of this stochastic process

Published on 20 Mar 2026 - 6:50

220

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Riemann integral of discrete white noise

Published on 23 Mar 2026 - 1:26

129

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What is the solution to SDEs of the form $dx=f(x)(dt+\rho dW_t)$?

Published on 22 Mar 2026 - 11:42

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Polar Brownian motion not recovering polar Laplacian?

Uniqueness of the parameters of an Ito process, given initial and terminal conditions

$dX_t=\alpha X_t \,dt + \sqrt{X_t} \,dW_t, $ with $X_0=x_0,\,\alpha,\sigma>0.$ Compute $E[X_t] $ and $E[Y]$ for $Y=\lim_{t\to\infty}e^{-\alpha t}X_t$

Initial Distribution of Stochastic Differential Equations

(In)dependence of solutions to certain SDEs

Expectation, supremum and convergence.

Integral of a sum dependent on the variable of integration

Solving of enhanced Hull-White $dX_t = \frac{e^t-X_t}{t-2}dt + tdW_t$

Closed form of a SDE

Matricial form of multidimensional GBM

Solve SDE and its formal solution

How to solve the SDE: $dX_t = aX_t dt + b \sqrt{X_t} dW_t$

Compute the expectation of this stochastic process

Riemann integral of discrete white noise

What is the solution to SDEs of the form $dx=f(x)(dt+\rho dW_t)$?

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