List questions from stochastic-differential-equations

Published on 01 Apr 2026 - 14:53

90

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How to solve this stochastic differential equation, $dx_t=\mu dt+(\sigma-\bar{\sigma}x_t)dW_t$?

Published on 25 Mar 2026 - 1:38

70

Views

background and interpretation of langevin dynamics

Published on 25 Mar 2026 - 1:36

159

Views

Finding stationary distribution of a 2D stochastic process

Published on 10 May 2026 - 16:02

668

Views

Solution of SDE with additive noise

Published on 01 Apr 2026 - 7:44

244

Views

Differential of determinant in the Itô calculus

Published on 25 Mar 2026 - 1:36

702

Views

Recovering the SDE of Vasicek model.

Published on 25 Mar 2026 - 1:37

90

Views

Text for stochastic processes

Published on 01 Apr 2026 - 4:30

1.6k

Views

In probability, what is exactly a noise and a white noise?

Published on 25 Mar 2026 - 1:36

3.5k

Views

What does the drift and diffusion coefficent of a solution to an SDE tell us in general?

Published on 25 Mar 2026 - 1:37

990

Views

Is an SDE really equal to an integral equation, or is it rather "its integral" that is?

Published on 25 Mar 2026 - 1:36

259

Views

Solution for Linear SDE with 2-dimentional noise and static coefficients

Published on 25 Mar 2026 - 1:35

627

Views

Sum of independent Brownian Motions: $\sqrt{a}dW_{1,t}+\sqrt{b}dW_{2,t}=\sqrt{a+b}dW_{3,t}$?

Published on 25 Mar 2026 - 1:40

267

Views

Understanding the positivity to the solution of the SDE $dX_t= adt+\sqrt{ \vert X_t \vert}dW_t$

Published on 25 Mar 2026 - 1:40

141

Views

Itō diffusion as a solution to a martingale problem

Published on 25 Mar 2026 - 1:33

List Question

A progressively measurable process.

How to solve this stochastic differential equation, $dx_t=\mu dt+(\sigma-\bar{\sigma}x_t)dW_t$?

background and interpretation of langevin dynamics

Finding stationary distribution of a 2D stochastic process

Solution of SDE with additive noise

Differential of determinant in the Itô calculus

Recovering the SDE of Vasicek model.

Text for stochastic processes

In probability, what is exactly a noise and a white noise?

What does the drift and diffusion coefficent of a solution to an SDE tell us in general?

Is an SDE really equal to an integral equation, or is it rather "its integral" that is?

Solution for Linear SDE with 2-dimentional noise and static coefficients

Sum of independent Brownian Motions: $\sqrt{a}dW_{1,t}+\sqrt{b}dW_{2,t}=\sqrt{a+b}dW_{3,t}$?

Understanding the positivity to the solution of the SDE $dX_t= adt+\sqrt{ \vert X_t \vert}dW_t$

Itō diffusion as a solution to a martingale problem

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