List questions from stochastic-differential-equations

Published on 12 May 2022 - 11:37

107

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Black-Scholes model with a derivative with payoff $S_{T}^{3}$

Published on 14 May 2022 - 12:08

127

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Find the mean and the variance of $X(1)$ for stochastic differential equation: $dX(t)=-1.5X(t)dt+0.85dW(t)$ with $X(0)=0.7$

Published on 15 May 2022 - 7:57

113

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Question on use of Ito's formula with integral in the function

Published on 15 May 2022 - 22:16

133

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Proving uniqueness of weak solution to SDE

Published on 16 May 2022 - 8:30

391

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Distribution of solution to SDE

Published on 17 May 2022 - 10:24

44

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When is an SDE solution differentiable in its starting value?

Published on 17 May 2022 - 12:26

35

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How to determine the reﬂecting horizontal hidden barrier for Ito diﬀusion

Published on 23 Feb 2026 - 13:26

54

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Compare a computer simulation to an SDE

Published on 28 Mar 2026 - 15:12

83

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Non-linear backward Kolmogorov equation

Published on 26 Mar 2026 - 21:08

59

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How to make sense of SDE notation

Published on 20 May 2022 - 20:19

64

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Cross-covariance term of linear stochastic differential equation

Published on 26 Mar 2026 - 2:55

63

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How do we calculate the expectation of the exponential of a matrix with normally distributed entries?

Published on 28 May 2022 - 9:22

49

Views

Can I use Feyman-Kac here when the derivative is squared?

Published on 23 Feb 2026 - 15:15

79

Views

Solving SDE $dx_t = (a) x_t dt + (b) dZ_t$

Published on 30 May 2022 - 10:18

List Question

Can I get the following estimate for a family of solutions of SDE's?

Black-Scholes model with a derivative with payoff $S_{T}^{3}$

Find the mean and the variance of $X(1)$ for stochastic differential equation: $dX(t)=-1.5X(t)dt+0.85dW(t)$ with $X(0)=0.7$

Question on use of Ito's formula with integral in the function

Proving uniqueness of weak solution to SDE

Distribution of solution to SDE

When is an SDE solution differentiable in its starting value?

How to determine the reﬂecting horizontal hidden barrier for Ito diﬀusion

Compare a computer simulation to an SDE

Non-linear backward Kolmogorov equation

How to make sense of SDE notation

Cross-covariance term of linear stochastic differential equation

How do we calculate the expectation of the exponential of a matrix with normally distributed entries?

Can I use Feyman-Kac here when the derivative is squared?

Solving SDE $dx_t = (a) x_t dt + (b) dZ_t$

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