List questions from stochastic-differential-equations

Published on 24 Apr 2022 - 20:14

411

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How can I apply the Euler–Maruyama approximation to the following SDE?

Published on 25 Mar 2026 - 22:03

78

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How to show that $(X,B)$ and $(Y,W)$ satisfy the same SDE if their joint law is equal?

Published on 27 Apr 2022 - 5:17

195

Views

Solution of a Stochastic Differential Equation

Published on 28 Apr 2022 - 10:19

162

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Radon-Nikodym derivative of pushforward measures and Girsanov theorem

Published on 24 Feb 2026 - 11:37

155

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The stochastic differential of $\cos (B_t^{(1)}B_t^{(2)})$

Published on 02 May 2022 - 15:23

140

Views

Question about Ito formula and BSDE

Published on 03 May 2022 - 12:00

87

Views

Show that $\mathbb{E}(X|\mathcal{F}_t)$ is a square-integrable martingale

Published on 03 May 2022 - 22:41

758

Views

Stochastic Differential Equation after a Change in the Time Parameter

Published on 04 May 2022 - 6:00

71

Views

Using BDG inequality to show the solution to a BSDE belongs to $S^2_{\mathscr{F}}$

Published on 05 May 2022 - 15:06

98

Views

Integrating factor and homogeneous equation for SDEs.

Published on 05 May 2022 - 22:45

80

Views

Using the BDG inequality to show a process is uniformly integrable

Published on 08 May 2022 - 14:54

214

Views

Finding a weak solution to an SDE

Published on 08 May 2022 - 15:50

106

Views

Finding a change of measure so that rescaled local martingale is a local martingale

Published on 08 May 2022 - 18:26

349

Views

Using SDE uniqueness in law to show that two processes have the same distribution

Published on 09 May 2022 - 0:50

List Question

Is a Riccati BSDE explicitly solvable?

How can I apply the Euler–Maruyama approximation to the following SDE?

How to show that $(X,B)$ and $(Y,W)$ satisfy the same SDE if their joint law is equal?

Solution of a Stochastic Differential Equation

Radon-Nikodym derivative of pushforward measures and Girsanov theorem

The stochastic differential of $\cos (B_t^{(1)}B_t^{(2)})$

Question about Ito formula and BSDE

Show that $\mathbb{E}(X|\mathcal{F}_t)$ is a square-integrable martingale

Stochastic Differential Equation after a Change in the Time Parameter

Using BDG inequality to show the solution to a BSDE belongs to $S^2_{\mathscr{F}}$

Integrating factor and homogeneous equation for SDEs.

Using the BDG inequality to show a process is uniformly integrable

Finding a weak solution to an SDE

Finding a change of measure so that rescaled local martingale is a local martingale

Using SDE uniqueness in law to show that two processes have the same distribution

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