List questions from stochastic-differential-equations

59

Views

find the soultion $Y(t)$ of the SDE $dY(t) = \left ( \theta - \gamma Y(t) \right )dt + \sigma dw(t)$

Published on 08 Oct 2013 - 9:26

3.6k

Views

Why do people write stochastic differential equations in differential form?

Published on 12 Oct 2013 - 17:44

373

Views

What is the analog Stratonovich SDE to WdW?

Published on 29 Nov 2013 - 11:09

992

Views

Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$

Published on 04 Dec 2013 - 19:59

1.1k

Views

How to solve $\mathrm dX(t)=B(t)X(t)\mathrm dt+B(t)X(t)\mathrm dB(t)$ with condition $X(0)=1$?

Published on 01 Jan 2014 - 9:04

362

Views

Solution of two (first) SDEs.

Published on 16 Jan 2014 - 7:54

6.4k

Views

Expectation of stochastic differential equation

Published on 21 Feb 2014 - 21:44

2.9k

Views

Find closed-form solution to the SDE $dX_t = dt + 2 \sqrt{X_t} \, dW_t$

Published on 10 Apr 2017 - 11:58

47

Views

There exists a general formula for the following linear SDE

Published on 17 Apr 2017 - 18:02

280

Views

Stochastic differential equation with random walk with very sudden large changes

Published on 18 Apr 2017 - 8:27

150

Views

Apply Itô's Lemma to $\left| X_t\right|^2$

Published on 01 May 2017 - 14:30

66

Views

Solution to SDE $\mathrm{d} S(t) = \left( \beta S(t) + (1- \beta) S_0\right) \sigma \mathrm{d} W(t)$

Published on 14 May 2017 - 14:12

52

Views

Why is $\int_{\mathbb{R}^d}\varphi(y)\mathrm{d}B_y=\int_{\mathbb{R}^d}(B_x-B_y)\varphi'(y)\mathrm{d}y$?

Published on 26 Mar 2026 - 17:52

510

Views

Uniqueness of solution for SDE with random coefficients

Published on 17 May 2017 - 13:30

108

Views

Is this a correct and the most simple method of solving this SDE?

Published on 18 May 2017 - 11:05

List Question

find the soultion $Y(t)$ of the SDE $dY(t) = \left ( \theta - \gamma Y(t) \right )dt + \sigma dw(t)$

Why do people write stochastic differential equations in differential form?

What is the analog Stratonovich SDE to WdW?

Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$

How to solve $\mathrm dX(t)=B(t)X(t)\mathrm dt+B(t)X(t)\mathrm dB(t)$ with condition $X(0)=1$?

Solution of two (first) SDEs.

Expectation of stochastic differential equation

Find closed-form solution to the SDE $dX_t = dt + 2 \sqrt{X_t} \, dW_t$

There exists a general formula for the following linear SDE

Stochastic differential equation with random walk with very sudden large changes

Apply Itô's Lemma to $\left| X_t\right|^2$

Solution to SDE $\mathrm{d} S(t) = \left( \beta S(t) + (1- \beta) S_0\right) \sigma \mathrm{d} W(t)$

Why is $\int_{\mathbb{R}^d}\varphi(y)\mathrm{d}B_y=\int_{\mathbb{R}^d}(B_x-B_y)\varphi'(y)\mathrm{d}y$?

Uniqueness of solution for SDE with random coefficients

Is this a correct and the most simple method of solving this SDE?

Trending Questions

Popular # Hahtags

Popular Questions