List questions from stochastic-differential-equations

Published on 18 Dec 2020 - 15:37

160

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What is the difference between the exact solution of the black scholes equation and the numerical euler scheme?

Published on 19 Dec 2020 - 15:34

232

Views

Brownian motion reflection principle (hitting probabilities conditioned on path)

Published on 20 Dec 2020 - 12:03

32

Views

Extinction time distribution in stochastic system

Published on 26 Mar 2026 - 21:25

339

Views

Derivation of Black-Scholes Equation: Why $d(\Delta S) = \Delta dS$

Published on 23 Dec 2020 - 9:25

661

Views

Derivative of a Stochastic Integral with respect to Limit & with respect to Integrator

Published on 23 Feb 2026 - 13:44

26

Views

Literature Request. Kinetic Fokker-Planck (Kramers) Equation.

Published on 29 Dec 2020 - 15:54

668

Views

Show that $dX_t=\frac{X_t}{1-t}dt+dW_t$ can be written as $X_t=(1-t)\int_{0}^{t}\frac{1}{1-s}dW_s$

Published on 30 Dec 2020 - 17:12

31

Views

Understand Brownian motion with regional time-change

Published on 01 Jan 2021 - 4:08

91

Views

Path of X, Path space of X, and Product sigma algebra $\sigma^I$

Published on 02 Jan 2021 - 13:12

101

Views

Does Itô's formula define a semimartingale?

Published on 03 Jan 2021 - 10:57

124

Views

Same SDE with different initial conditions

Published on 30 Mar 2026 - 9:44

57

Views

How to find the matrix $G$?

Published on 04 Jan 2021 - 20:45

266

Views

Independence of solution to SDE and initial condition

Published on 05 Jan 2021 - 13:23

314

Views

Picard's successive approximation method for SDE's

Published on 05 Jan 2021 - 13:49

List Question

Solving a 2-D SDE

What is the difference between the exact solution of the black scholes equation and the numerical euler scheme?

Brownian motion reflection principle (hitting probabilities conditioned on path)

Extinction time distribution in stochastic system

Derivation of Black-Scholes Equation: Why $d(\Delta S) = \Delta dS$

Derivative of a Stochastic Integral with respect to Limit & with respect to Integrator

Literature Request. Kinetic Fokker-Planck (Kramers) Equation.

Show that $dX_t=\frac{X_t}{1-t}dt+dW_t$ can be written as $X_t=(1-t)\int_{0}^{t}\frac{1}{1-s}dW_s$

Understand Brownian motion with regional time-change

Path of X, Path space of X, and Product sigma algebra $\sigma^I$

Does Itô's formula define a semimartingale?

Same SDE with different initial conditions

How to find the matrix $G$?

Independence of solution to SDE and initial condition

Picard's successive approximation method for SDE's

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