List questions from stochastic-differential-equations

Published on 23 Feb 2026 - 6:38

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Itō-Stratonovich correction term for SPDEs

Published on 23 Feb 2026 - 6:35

3.8k

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Solution of SDE $dX_t = \mu(t)X_tdt + \sigma X_t dW_t$

Published on 05 Oct 2016 - 10:56

122

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How to understand this SDE?

Published on 13 Oct 2016 - 8:58

59

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subelliptic estimate definitions

Published on 25 Oct 2016 - 17:23

333

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How to solve the following SDEs?

Published on 25 Oct 2016 - 22:16

331

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Solve the stochastic differential equation $dX_t = -X_t \, dt + e^{-t} \, dW_t$

Published on 19 Nov 2016 - 22:47

1.7k

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Characteristic Function of an Ornstein Uhlenbeck process

Published on 29 Nov 2016 - 22:02

436

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Euler-Maruyama to solve SDE and show strong and weak convergence

Published on 07 Dec 2016 - 4:20

966

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How to plot a SDE $dx(t)=Ax(t)dt+Bx(t)dW(t) $ using Matlab, and how will the graph look like?

Published on 25 Mar 2026 - 21:48

98

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Ito's Lemma for level set

Published on 13 Dec 2016 - 16:06

216

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Solve the SDE $dZ_t = \frac{1}{2} W_t^2 Z_t \, dt+ W_t Z_t \, dW_t$

Published on 14 Dec 2016 - 23:57

120

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Is there a specific term for this SDE?

Published on 16 Dec 2016 - 10:09

570

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Solving this SDE $dX_t = aX_tdt + bdW_t$, $X_0 = x$ to find $E[X_t^2]$

Published on 16 Dec 2016 - 11:51

300

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Having trouble understanding what brownian bridge really is

Published on 16 Dec 2016 - 19:10

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Correlation of two processes that solve a system of SDE's

Itō-Stratonovich correction term for SPDEs

Solution of SDE $dX_t = \mu(t)X_tdt + \sigma X_t dW_t$

How to understand this SDE?

subelliptic estimate definitions

How to solve the following SDEs?

Solve the stochastic differential equation $dX_t = -X_t \, dt + e^{-t} \, dW_t$

Characteristic Function of an Ornstein Uhlenbeck process

Euler-Maruyama to solve SDE and show strong and weak convergence

How to plot a SDE $dx(t)=Ax(t)dt+Bx(t)dW(t) $ using Matlab, and how will the graph look like?

Ito's Lemma for level set

Solve the SDE $dZ_t = \frac{1}{2} W_t^2 Z_t \, dt+ W_t Z_t \, dW_t$

Is there a specific term for this SDE?

Solving this SDE $dX_t = aX_tdt + bdW_t$, $X_0 = x$ to find $E[X_t^2]$

Having trouble understanding what brownian bridge really is

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