List questions from stochastic-differential-equations

Published on 17 Nov 2020 - 22:38

102

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continuity of coefficients imply uniqueness in law of the solutions of an sde?

Published on 22 Nov 2020 - 1:29

102

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Solving stochastic differential equation $ dX_t = \kappa(\theta - X_t)dt\ +\ \sigma dW_t $

Published on 22 Nov 2020 - 13:30

480

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Derive SDE for $ Z_t = \frac {X_t}{Y_t} $

Published on 22 Nov 2020 - 16:37

111

Views

Expectation of integral of a stochastic process

Published on 24 Nov 2020 - 21:35

725

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Proving that Geometric Brownian Motion is positive

Published on 25 Nov 2020 - 15:58

117

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A question on how to prove a local martingale of continuous time

Published on 25 Nov 2020 - 19:41

505

Views

How do I implement the Euler scheme for this SDE?

Published on 30 Nov 2020 - 20:40

167

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What will be the Ito derivative?

Published on 02 Dec 2020 - 5:02

246

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Autocorrelation function of stochastic process

Published on 02 Dec 2020 - 13:51

112

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Expectation of an Ito integral involving arbitrary function in integrand

Published on 02 Dec 2020 - 14:08

211

Views

Expectation of $\sqrt{r_t}$ in $\textrm{d}r_t=\kappa(\theta-r_t)\,\textrm{d}t+\sigma\sqrt{r_t}\,\textrm{d}B_t$

Published on 02 Dec 2020 - 21:21

69

Views

What will be expectation of brownian motion?

Published on 03 Dec 2020 - 12:05

71

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How is the îto solution calculated?

Published on 03 Dec 2020 - 18:42

72

Views

Stochastic exponential of a true martingale is also a true martingale?

Published on 03 Dec 2020 - 19:09

List Question

Show that $x(t) = e^{- \gamma t} \cos(\omega t) x(0)$ is the solution a diffusion equation.

continuity of coefficients imply uniqueness in law of the solutions of an sde?

Solving stochastic differential equation $ dX_t = \kappa(\theta - X_t)dt\ +\ \sigma dW_t $

Derive SDE for $ Z_t = \frac {X_t}{Y_t} $

Expectation of integral of a stochastic process

Proving that Geometric Brownian Motion is positive

A question on how to prove a local martingale of continuous time

How do I implement the Euler scheme for this SDE?

What will be the Ito derivative?

Autocorrelation function of stochastic process

Expectation of an Ito integral involving arbitrary function in integrand

Expectation of $\sqrt{r_t}$ in $\textrm{d}r_t=\kappa(\theta-r_t)\,\textrm{d}t+\sigma\sqrt{r_t}\,\textrm{d}B_t$

What will be expectation of brownian motion?

How is the îto solution calculated?

Stochastic exponential of a true martingale is also a true martingale?

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