List questions from stochastic-differential-equations

Published on 17 Jun 2015 - 19:16

75

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What is a stochastic differential equation of the form $dZ = f(Z_{prev}, X_{prev})dt + CdW_t$ called?

Published on 23 Jun 2015 - 22:01

2.6k

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Infinitesimal Generator for Stochastic Processes

Published on 01 Jul 2015 - 18:45

184

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Bounded L2 increments for an Ornstein Uhlenbeck type process

Published on 26 Mar 2026 - 17:35

116

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Properties of Stochastic Differential Equations

Published on 13 Jul 2015 - 19:04

571

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Transforming $dX=-X^2dt+2X\circ dW$ (a Stratonovich SDE) to Ito form

Published on 14 Jul 2015 - 20:58

194

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Given a geometric Brownian motion, obtain a recurrence relation for moment $\mathbb{E}X_k^q$ and deduce $\mathbb{E}_k^q=\alpha^k(ah^{1/2},q)$

Published on 15 Jul 2015 - 16:52

420

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Continuous dependence on an initial condition (SDE)

Published on 17 Jul 2015 - 13:14

243

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Negative volatility of Ito Diffusion?

Published on 18 Jul 2015 - 20:39

283

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Showing a process satisfies an SDE

Published on 19 Jul 2015 - 10:23

207

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How to prove that this process is always positive?

Published on 25 Jul 2015 - 15:34

818

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Solve simple system of SDEs

Published on 27 Jul 2015 - 16:39

570

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Solving a SDE / Finding expectation Value

Published on 28 Jul 2015 - 23:33

700

Views

Trying to understand Tanaka's example of SDE.

Published on 30 Jul 2015 - 18:36

192

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Using Ito theory to decide whether $M^f$ is martingale or a local martingale

Published on 30 Jul 2015 - 20:05

List Question

Expected Value and Variance of a GBM Function

What is a stochastic differential equation of the form $dZ = f(Z_{prev}, X_{prev})dt + CdW_t$ called?

Infinitesimal Generator for Stochastic Processes

Bounded L2 increments for an Ornstein Uhlenbeck type process

Properties of Stochastic Differential Equations

Transforming $dX=-X^2dt+2X\circ dW$ (a Stratonovich SDE) to Ito form

Given a geometric Brownian motion, obtain a recurrence relation for moment $\mathbb{E}X_k^q$ and deduce $\mathbb{E}_k^q=\alpha^k(ah^{1/2},q)$

Continuous dependence on an initial condition (SDE)

Negative volatility of Ito Diffusion?

Showing a process satisfies an SDE

How to prove that this process is always positive?

Solve simple system of SDEs

Solving a SDE / Finding expectation Value

Trying to understand Tanaka's example of SDE.

Using Ito theory to decide whether $M^f$ is martingale or a local martingale

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