List questions from stochastic-differential-equations

Published on 07 Feb 2021 - 14:52

442

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Solving SDE with sign function in drift term?

Published on 08 Feb 2021 - 3:51

37

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Simplifying terms in Ito's Lemma like $Y_t dX_t$ and $dX_tdY_t$

Published on 08 Feb 2021 - 16:11

137

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Find an SDE given a probability density function p(x,t)

Published on 08 Feb 2021 - 23:24

152

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Have trouble understanding Matlab code of stochastic integrals

Published on 12 Feb 2021 - 18:51

128

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On an example of SDE where strong and weak solutions are different

Published on 14 Feb 2021 - 16:26

332

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Intuition of Kolmogorov equations and infinitesimal generators

Published on 14 Feb 2021 - 17:38

147

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Divergence when calculating moments with a space-time Gaussian white noise

Published on 23 Feb 2026 - 13:47

824

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Integral of "white noise" multiplied by exponential term (multivariate Ornstein-Uhlenbeck)

Published on 16 Feb 2021 - 17:24

117

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Estimate to arrive at $\mathbb{E}[(|X^{i}_t|+\frac{1}{N}\sum_{j=1}^N|X^j_t|)^q\mid X_0^{i}=x]\leq C x^q$

Published on 19 Feb 2021 - 10:54

189

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Dealing with SDE involving $\max\{X_t,0\}\mathrm{d}W_t$

Published on 20 Feb 2021 - 1:01

179

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Derivative of conditional expectation of integral of stochastic process

Published on 21 Feb 2021 - 21:30

260

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Finding the SDE

Published on 22 Feb 2021 - 10:49

39

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What kind of stochastic process could this be?

Published on 22 Feb 2021 - 16:33

57

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Can a stochastic process correspond to multiple SDE's?

Published on 22 Feb 2021 - 20:44

List Question

Apply Ito's formula to $d(X_t)$, where $X_t = e^{\int_0^t(X_s-1/2)ds+W_t}$

Solving SDE with sign function in drift term?

Simplifying terms in Ito's Lemma like $Y_t dX_t$ and $dX_tdY_t$

Find an SDE given a probability density function p(x,t)

Have trouble understanding Matlab code of stochastic integrals

On an example of SDE where strong and weak solutions are different

Intuition of Kolmogorov equations and infinitesimal generators

Divergence when calculating moments with a space-time Gaussian white noise

Integral of "white noise" multiplied by exponential term (multivariate Ornstein-Uhlenbeck)

Estimate to arrive at $\mathbb{E}[(|X^{i}_t|+\frac{1}{N}\sum_{j=1}^N|X^j_t|)^q\mid X_0^{i}=x]\leq C x^q$

Dealing with SDE involving $\max\{X_t,0\}\mathrm{d}W_t$

Derivative of conditional expectation of integral of stochastic process

Finding the SDE

What kind of stochastic process could this be?

Can a stochastic process correspond to multiple SDE's?

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