List questions from stochastic-differential-equations

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Help with substitution

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How can we tell, from the SDE, that a GBM can never take the value of 0 or infinity (for $t > 0$)?

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Log-transition-density of diffusion

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CIR model. Is there a closed-form solution or even a good proxy of analytical solution?

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What are the requirements for $\lim_{h\to 0^+}\int_0^{t}f(X_{s+h})dX_{s+h}=\int_0^{t}f(X_{s})dX_s\tag{1}$ to hold?

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PDEs from Stochastic Processes Reference Request

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Linear quadratic stochastic optimal control problem with stochastic coefficients

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Sample paths of a diffusion are almost surely non-constant?

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Convergence of the random walk to the Brownian motion on $S^2$

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List Question

Solving Stochastic Differential Equations

Ornstein - Uhlenbeck - Stochastic Differential Equation liminf and limsup

Help with substitution

How can we tell, from the SDE, that a GBM can never take the value of 0 or infinity (for $t > 0$)?

Log-transition-density of diffusion

State-space model (SSM) for SDE

CIR model. Is there a closed-form solution or even a good proxy of analytical solution?

What are the requirements for $\lim_{h\to 0^+}\int_0^{t}f(X_{s+h})dX_{s+h}=\int_0^{t}f(X_{s})dX_s\tag{1}$ to hold?

PDEs from Stochastic Processes Reference Request

Linear quadratic stochastic optimal control problem with stochastic coefficients

Autocorrelation for an Ornstein-Uhlenbeck Process

Differential dependence on the initial value for a simple ordinary differential equation

Sample paths of a diffusion are almost surely non-constant?

Convergence of the random walk to the Brownian motion on $S^2$

Infinitesimal generator - Is it obtained from a stochastic process or It can help constructing the process

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