List questions from stochastic-differential-equations

Published on 22 May 2016 - 16:28

230

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Exploiting the Markov property

Published on 22 May 2016 - 22:55

373

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Expected hitting time of a stochastic differential equation with jumps (neuroscience example)

Published on 27 May 2016 - 18:51

704

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Stochastic differential equation substitution reasoning?

Published on 02 Jun 2016 - 0:11

1.4k

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Girsanov theorem calculations help

Published on 04 Jun 2016 - 11:56

140

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Uniqueness of the trajectories of the solution of an SDE

Published on 11 Jun 2016 - 13:55

54

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Uniform Boundary for S.D.E with Lipschitz Coefficients

Published on 25 Jun 2016 - 12:46

32

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How to show that $I_tdX_t + I_tP_tX_t dt = d(I_tX_t)$ using Ito's Lemma?

Published on 29 Jun 2016 - 21:00

306

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Solve a special non-linear Backward SDE

Published on 29 Apr 2013 - 3:36

469

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Show that $dX_t=1_{X_t\not=0} dW_t$ does not have a pathwise unique solution.

Published on 07 May 2013 - 20:49

953

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Simple stochastic differential equation

Published on 03 Jun 2013 - 14:43

664

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solution of SDE: $dS_t=(\alpha S_t+f(t))dW_t$

Published on 04 Jul 2013 - 11:20

3.6k

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how to do such stochastic integration $dS = a S^b dt + c S dW$?

Published on 15 Aug 2013 - 8:45

837

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Ito vs Stratonovich SDE with irregular time-dependence in coefficients

Published on 12 Sep 2013 - 13:22

1.5k

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Name of the formula transforming general SDE to linear

Published on 08 Oct 2013 - 0:59

List Question

Solving a nonlinear scalar Ito SDE

Exploiting the Markov property

Expected hitting time of a stochastic differential equation with jumps (neuroscience example)

Stochastic differential equation substitution reasoning?

Girsanov theorem calculations help

Uniqueness of the trajectories of the solution of an SDE

Uniform Boundary for S.D.E with Lipschitz Coefficients

How to show that $I_tdX_t + I_tP_tX_t dt = d(I_tX_t)$ using Ito's Lemma?

Solve a special non-linear Backward SDE

Show that $dX_t=1_{X_t\not=0} dW_t$ does not have a pathwise unique solution.

Simple stochastic differential equation

solution of SDE: $dS_t=(\alpha S_t+f(t))dW_t$

how to do such stochastic integration $dS = a S^b dt + c S dW$?

Ito vs Stratonovich SDE with irregular time-dependence in coefficients

Name of the formula transforming general SDE to linear

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