List questions from stochastic-differential-equations

Published on 27 Mar 2026 - 13:19

43

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How to solve the distribution of $x$ in the Langevin equation?

Published on 06 Dec 2023 - 8:10

152

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Confusion about the uniqueness of an SDE

Published on 06 Dec 2023 - 21:37

73

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Using Ito's formula to show convergence of two stochastic processes

Published on 07 Dec 2023 - 19:26

74

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Independence stochastic integral

Published on 07 Dec 2023 - 20:55

61

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Joint probability associated to First Passage Time and the value random variables get when thorugh thershold

Published on 09 Dec 2023 - 6:47

146

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Intuition - Ito's formula

Published on 09 Dec 2023 - 21:51

79

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How to rewrite the SDE

Published on 11 Dec 2023 - 17:52

100

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How to simulate from $dY_i=Y_i( \mu dt$ $+ \sigma_{(2)}( \alpha dB^{(1)}_i + \sqrt{1- \alpha ^2} dB^{(2)}_i))$ for $\mu, \sigma>0, \alpha \in [-1,1]$?

Published on 26 Mar 2026 - 8:02

106

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Why does the Yamada-Watanabe Uniqueness Theorem for SDEs not hold in the multidimensional case?

Published on 12 Dec 2023 - 23:49

53

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What is the meaning of $dX(t)$ when $X(t)$ is a random process?

Published on 14 Dec 2023 - 11:40

75

Views

Understanding a proof of the covariance matrix of a random process in SDE

Published on 15 Dec 2023 - 1:49

300

Views

Converting an Ito integral into a Backward Ito Integral

Published on 15 Dec 2023 - 21:42

42

Views

Exploring Regularity of Solutions in Stochastic Differential Equations

Published on 20 Dec 2023 - 15:06

42

Views

Spatial discretization of Brownian motion/Wiener process

Published on 21 Dec 2023 - 2:58

List Question

behavior of SDE as parameter goes to infinity (Ornstein-Uhlembeck?)

How to solve the distribution of $x$ in the Langevin equation?

Confusion about the uniqueness of an SDE

Using Ito's formula to show convergence of two stochastic processes

Independence stochastic integral

Joint probability associated to First Passage Time and the value random variables get when thorugh thershold

Intuition - Ito's formula

How to rewrite the SDE

How to simulate from $dY_i=Y_i( \mu dt$ $+ \sigma_{(2)}( \alpha dB^{(1)}_i + \sqrt{1- \alpha ^2} dB^{(2)}_i))$ for $\mu, \sigma>0, \alpha \in [-1,1]$?

Why does the Yamada-Watanabe Uniqueness Theorem for SDEs not hold in the multidimensional case?

What is the meaning of $dX(t)$ when $X(t)$ is a random process?

Understanding a proof of the covariance matrix of a random process in SDE

Converting an Ito integral into a Backward Ito Integral

Exploring Regularity of Solutions in Stochastic Differential Equations

Spatial discretization of Brownian motion/Wiener process

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