List questions from stochastic-differential-equations

Published on 30 Apr 2021 - 23:34

38

Views

How can I solve $dX_t=|X_t|^\alpha dW_t$?

Published on 01 May 2021 - 10:12

89

Views

Matrix norm used in Lipschitz condition on multidimensional SDE

Published on 03 May 2021 - 15:15

130

Views

Why constant (identity) diffusion in valuable SDE proofs?

Published on 05 May 2021 - 11:10

270

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Seeking an analytic solution to an SDE with curiously simple form

Published on 05 May 2021 - 12:49

37

Views

Global phase in stochastic Kuramoto model with vanishing natural frequencies

Published on 07 May 2021 - 12:47

130

Views

Probability distribution of the solution of an SDE

Published on 07 May 2021 - 13:57

696

Views

Proving Existence and Uniqueness for Cox-Ingersoll-Ross SDE.

Published on 10 May 2021 - 11:13

178

Views

Density of Brownian motion with drift given correlated noise

Published on 10 May 2021 - 17:31

457

Views

Proving that the solution to the Cox-Ingersoll-Ross SDE is positive.

Published on 12 May 2021 - 3:24

92

Views

Doob-Meyer decomposition; uniqueness

Published on 12 May 2021 - 7:47

244

Views

Uniqueness and non-uniqueness of a SDE involving a random time change

Published on 12 May 2021 - 13:10

165

Views

Understanding $du \, dv$ or $(du)^2$ being dropped in Itô calculus

Published on 12 May 2021 - 14:49

64

Views

SDE possibly related to Geometric Brownian Motion

Published on 14 May 2021 - 20:05

88

Views

Expected value of a product of function and stochastic integral that depend on a solution of SDE

Published on 15 May 2021 - 15:59

List Question

Problems solving the SDE $dX_t = aX_tdt +\sigma dB_t$. Why don't Ito's lemma work?

How can I solve $dX_t=|X_t|^\alpha dW_t$?

Matrix norm used in Lipschitz condition on multidimensional SDE

Why constant (identity) diffusion in valuable SDE proofs?

Seeking an analytic solution to an SDE with curiously simple form

Global phase in stochastic Kuramoto model with vanishing natural frequencies

Probability distribution of the solution of an SDE

Proving Existence and Uniqueness for Cox-Ingersoll-Ross SDE.

Density of Brownian motion with drift given correlated noise

Proving that the solution to the Cox-Ingersoll-Ross SDE is positive.

Doob-Meyer decomposition; uniqueness

Uniqueness and non-uniqueness of a SDE involving a random time change

Understanding $du \, dv$ or $(du)^2$ being dropped in Itô calculus

SDE possibly related to Geometric Brownian Motion

Expected value of a product of function and stochastic integral that depend on a solution of SDE

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