List questions from stochastic-differential-equations

Published on 31 Mar 2026 - 1:08

284

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Weak solution of SDE, Tanaka equation

Published on 02 Jan 2022 - 1:54

73

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Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$

Published on 02 Jan 2022 - 21:49

165

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Oksendal chapter 7, what does $E^x[f_1(X_{t_1})\ldots f_k(X_{t_k})]=E[f_1(X^x_{t_1})\ldots f_k(X^x_{t_k})]$ mean?

Published on 05 Jan 2022 - 14:25

56

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Some Grownwall type inequality for stochastic integral equation

Published on 06 Jan 2022 - 10:14

81

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Sufficient condition for a weak solution of an SDE?

Published on 06 Jan 2022 - 15:14

800

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Geometric Brownian motion and its inverse

Published on 09 Jan 2022 - 23:33

71

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Time marginal of Brownian motion and Heat Equation

Published on 23 Feb 2026 - 15:20

128

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Possible Close-form solution for 2 dimensional $\frac{d\Sigma}{dt} = \mathbf{A}\Sigma + \Sigma \mathbf{A}^T + \mathbf{B}\mathbf{B}^T$

Published on 10 Jan 2022 - 6:26

57

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Dealing with a term coming from Ito formula.

Published on 12 Jan 2022 - 13:04

42

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Why do they get $dX_{t} = -\frac{V_{t}^{2}}{2}dt+\sqrt{V_{t}}(\rho dW_{t}+\sqrt{1-\rho^{2}}dW_{t}^{\perp})$

Published on 14 Jan 2022 - 15:36

157

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Pushforward of a measure under a given flow

Published on 24 Feb 2026 - 15:26

103

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How to evaluate this inequality in a priori estimate of strong solution of SDEs

Published on 18 Jan 2022 - 6:13

266

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Sampling stationary distribution of SDE by solving numerical scheme

Published on 18 Jan 2022 - 22:48

41

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Stochastic Differential equations for random loads

Published on 22 Jan 2022 - 12:33

List Question

Numerically solving SDE in Python

Weak solution of SDE, Tanaka equation

Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$

Oksendal chapter 7, what does $E^x[f_1(X_{t_1})\ldots f_k(X_{t_k})]=E[f_1(X^x_{t_1})\ldots f_k(X^x_{t_k})]$ mean?

Some Grownwall type inequality for stochastic integral equation

Sufficient condition for a weak solution of an SDE?

Geometric Brownian motion and its inverse

Time marginal of Brownian motion and Heat Equation

Possible Close-form solution for 2 dimensional $\frac{d\Sigma}{dt} = \mathbf{A}\Sigma + \Sigma \mathbf{A}^T + \mathbf{B}\mathbf{B}^T$

Dealing with a term coming from Ito formula.

Why do they get $dX_{t} = -\frac{V_{t}^{2}}{2}dt+\sqrt{V_{t}}(\rho dW_{t}+\sqrt{1-\rho^{2}}dW_{t}^{\perp})$

Pushforward of a measure under a given flow

How to evaluate this inequality in a priori estimate of strong solution of SDEs

Sampling stationary distribution of SDE by solving numerical scheme

Stochastic Differential equations for random loads

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