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How does adding a constant affect the solution to a SDE

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#stochastic-calculus #stochastic-differential-equations
131
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Infinitesimal generator of brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-differential-equations
58
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Find a function $b \in L^p([0,1])$ for $p \in [1,2)$ such that the laws of $W$ and $W + \int^{\cdot}_0b_s ds$ are mutually singular.

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#stochastic-integrals #stochastic-differential-equations
60
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Compensate mean of a mean reverting process in logs

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#stochastic-processes #stochastic-calculus #stochastic-differential-equations
115
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Linear SDE with locally Lipschitz coefficients and without linear growth

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
67
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Mean Field Games

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#game-theory #stochastic-analysis #stochastic-differential-equations
74
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How do you know if something satisfies a Stochastic Differential Equation?

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#calculus #stochastic-calculus #stochastic-differential-equations
119
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sde for brownian bridge

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#stochastic-processes #brownian-motion #stochastic-differential-equations #brownian-bridge
32
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Predictable cross variation - SDE

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#stochastic-differential-equations
37
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The central moments of stochastic differential equations

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#stochastic-differential-equations #moment-problem
44
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Does Girsanov theorem hold under conditional distribution?

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#stochastic-calculus #conditional-expectation #stochastic-differential-equations #malliavin-calculus #girsanov-theorem
92
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Ito's Lemma for Process given Generator

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-differential-equations
39
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Brownian motion construction on the unit sphere in Oksendal text book

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#stochastic-processes #stochastic-calculus #brownian-motion #markov-process #stochastic-differential-equations
86
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ODE for variance of linear SDE

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#probability-theory #stochastic-calculus #stochastic-differential-equations
47
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ODE for mean of SDE

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#real-analysis #probability-theory #stochastic-differential-equations

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