List questions from stochastic-differential-equations

Published on 04 Dec 2020 - 12:13

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Ito processes and Martingales

Published on 04 Dec 2020 - 14:37

34

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How is this process a solution to this ito SDE and how is the conversion done from Îto to Stratonovitch?

Published on 04 Dec 2020 - 21:10

263

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Feller transition kernel gives rise to ${C}_0$-semigroup

Published on 29 Mar 2026 - 14:02

488

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Mean reverting Ornstein-Uhlenbeck SDE

Published on 09 Dec 2020 - 12:41

215

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How is the simulation done of the black scholes model?

Published on 09 Dec 2020 - 13:22

66

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How do I use Ito's formula to solve this $ dX = \frac{1}{3} X^{1/3} dt + X^{2/3} dB $

Published on 10 Dec 2020 - 23:13

165

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Verify order of convergence of the Euler--Maruyama schemenumerically

Published on 25 Mar 2026 - 16:01

160

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solution of GBM doubt

Published on 12 Dec 2020 - 13:46

125

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How to compute the global error of euler maruyama in order to illustrate the order of convergence?

Published on 12 Dec 2020 - 17:29

1.9k

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Recommendation for good online videos for stochastic differential equations

Published on 15 Dec 2020 - 15:13

1k

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Quotient of two geometric Brownian motions

Published on 15 Dec 2020 - 15:18

28

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Extinction time of stochastic population model

Published on 16 Dec 2020 - 13:11

33

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Show that $P(B)>0$ where $B = \{\tau < T \text{ and } |X_t| \leq \theta -1 \text{ for all } 0 \leq t \leq \tau\}$ and $X$ is the sol of an Ito SDE

Published on 16 Dec 2020 - 15:50

253

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Implicit Euler Scheme in recursive form to solve SDE

Published on 18 Dec 2020 - 12:32

List Question

Finding as expressions for the $E[X^2_T]$ for a particular stochastic process.

Ito processes and Martingales

How is this process a solution to this ito SDE and how is the conversion done from Îto to Stratonovitch?

Feller transition kernel gives rise to ${C}_0$-semigroup

Mean reverting Ornstein-Uhlenbeck SDE

How is the simulation done of the black scholes model?

How do I use Ito's formula to solve this $ dX = \frac{1}{3} X^{1/3} dt + X^{2/3} dB $

Verify order of convergence of the Euler--Maruyama schemenumerically

solution of GBM doubt

How to compute the global error of euler maruyama in order to illustrate the order of convergence?

Recommendation for good online videos for stochastic differential equations

Quotient of two geometric Brownian motions

Extinction time of stochastic population model

Show that $P(B)>0$ where $B = \{\tau < T \text{ and } |X_t| \leq \theta -1 \text{ for all } 0 \leq t \leq \tau\}$ and $X$ is the sol of an Ito SDE

Implicit Euler Scheme in recursive form to solve SDE

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