List questions from stochastic-differential-equations

Published on 03 Aug 2021 - 16:32

30

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Realisation of a of stochastic process described by a pearson type 4 pdf

Published on 04 Aug 2021 - 9:47

126

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Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Published on 05 Aug 2021 - 23:40

38

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Can reflecting boundary conditions in the Fokker-Planck equation take the place of confining potentials in the Langevin equation?

Published on 09 Aug 2021 - 4:26

375

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Generalised Ornstein-Uhlenbeck process driven again by OU-process

Published on 09 Aug 2021 - 13:07

94

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Does the converse of Girsanov theorem hold in this case?

Published on 09 Aug 2021 - 18:36

346

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Why are rough stochastic volatility models not Markovian?

Published on 15 Aug 2021 - 10:50

360

Views

Continuous limit of a discrete stochastic process

Published on 16 Aug 2021 - 12:49

171

Views

Equivalence of Leaky Integrator and Low-Pass Filter Decision Models

Published on 26 Mar 2026 - 11:04

219

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Getting a continuous modification in existence proof of SDE (Oksendal)

Published on 18 Aug 2021 - 20:34

90

Views

Efficient numerical solution of brownian motion SDE with non-smooth diffusivity

Published on 19 Aug 2021 - 8:06

150

Views

Conditional expectation of a function of a stochastic process

Published on 19 Aug 2021 - 13:22

107

Views

Stochastic integral with respect to fractional Brownian motion.

Published on 22 Aug 2021 - 16:53

115

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Simpler for of Euler-Maruyama or am I missing something

Published on 23 Aug 2021 - 8:54

59

Views

Are there numerical methods that preserve stationary solutions of SDEs?

Published on 24 Aug 2021 - 12:56

List Question

Expected value of $S_t$ where $dS_t=(\mu S_t+a)dt + (\sigma S_t +b)dW_t$

Realisation of a of stochastic process described by a pearson type 4 pdf

Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Can reflecting boundary conditions in the Fokker-Planck equation take the place of confining potentials in the Langevin equation?

Generalised Ornstein-Uhlenbeck process driven again by OU-process

Does the converse of Girsanov theorem hold in this case?

Why are rough stochastic volatility models not Markovian?

Continuous limit of a discrete stochastic process

Equivalence of Leaky Integrator and Low-Pass Filter Decision Models

Getting a continuous modification in existence proof of SDE (Oksendal)

Efficient numerical solution of brownian motion SDE with non-smooth diffusivity

Conditional expectation of a function of a stochastic process

Stochastic integral with respect to fractional Brownian motion.

Simpler for of Euler-Maruyama or am I missing something

Are there numerical methods that preserve stationary solutions of SDEs?

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