List questions from stochastic-differential-equations

Published on 01 Mar 2019 - 22:55

1.1k

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Expectation of solution to SDE $dX_t=-\tanh(X_t) dt + dW_t$

Published on 21 Mar 2026 - 18:17

200

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SDE Integration

Published on 22 Mar 2026 - 15:29

540

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SDE with stationary Log-normal distribution

Published on 22 Mar 2026 - 5:39

80

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How interpret that $\mathbb E[|X_t^e-x_t|^2]\leq e^2a(t)$, if $\dot X_t^e=b(X_t^e)+e\sigma (X_t^e)dB_t$

Published on 21 Mar 2026 - 17:03

497

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Partial Derivative for Stochastic Integral

Published on 21 Mar 2026 - 17:25

244

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Finding the unique solution of an SDE

Published on 22 Mar 2026 - 2:05

42

Views

Under what conditions does the solution to a mean reverting sde satisfy $E[\sup_{[0,T]} r(t)^2]<\infty$ for all $T>0$

Published on 22 Mar 2026 - 6:22

186

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Is ODE a superset of SDE and how are they diffrent?

Published on 22 Mar 2026 - 8:23

305

Views

How to write a system of stochastic differential equations (SDE) mathematically correct?

Published on 21 Mar 2026 - 17:04

156

Views

How can I simulate increments of a two dimensional brownian motion?

Published on 25 Mar 2026 - 4:39

31

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Differential of traders wealth function equals $0$. Correct?

Published on 21 Mar 2026 - 19:58

132

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Implementing Ito Taylor Method to SDE

Published on 22 Mar 2026 - 14:15

56

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Non existence of limit of Gibbs distribution

Published on 25 Mar 2026 - 4:41

146

Views

How can I find the distribution of an itô diffusion given it's generator?

Published on 22 Mar 2026 - 8:02

List Question

Solving second order nonhomogeneous ODE where the RHS is a random process

Expectation of solution to SDE $dX_t=-\tanh(X_t) dt + dW_t$

SDE Integration

SDE with stationary Log-normal distribution

How interpret that $\mathbb E[|X_t^e-x_t|^2]\leq e^2a(t)$, if $\dot X_t^e=b(X_t^e)+e\sigma (X_t^e)dB_t$

Partial Derivative for Stochastic Integral

Finding the unique solution of an SDE

Under what conditions does the solution to a mean reverting sde satisfy $E[\sup_{[0,T]} r(t)^2]<\infty$ for all $T>0$

Is ODE a superset of SDE and how are they diffrent?

How to write a system of stochastic differential equations (SDE) mathematically correct?

How can I simulate increments of a two dimensional brownian motion?

Differential of traders wealth function equals $0$. Correct?

Implementing Ito Taylor Method to SDE

Non existence of limit of Gibbs distribution

How can I find the distribution of an itô diffusion given it's generator?

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