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Basic application of Ito's Lemma

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-differential-equations
383
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Lie algebras and the Hörmander condition for SDEs

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#operator-theory #smooth-manifolds #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
116
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Derivative of the variance of a stochastic process

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#probability #stochastic-processes #markov-process #stochastic-integrals #stochastic-differential-equations
45
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Verification that sphere SDE has same Itô form as Stratonovich

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#solution-verification #stochastic-differential-equations
108
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solve the SDE $dX_t=aX_tdt+\sigma\mathrm{sgn}(X_t)dB_t$

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#stochastic-calculus #stochastic-differential-equations
36
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Writing the differential of a Cauchy symmetric process

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#stochastic-processes #stochastic-differential-equations
62
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solve the SDE $dX_t=-\frac{1}{2}\exp\{-2X_t\}dt+\exp\{-X_t\}dW_t$

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#stochastic-calculus #stochastic-differential-equations
221
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Fokker-Planck equations for simple diffusion with a source and a absorbing boundaries

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#partial-differential-equations #stochastic-processes #brownian-motion #boundary-value-problem #stochastic-differential-equations
98
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Fokker-Planck: uniqueness and attractiveness of stationary distribution (gradient systems)

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#probability-distributions #stochastic-processes #asymptotics #stochastic-differential-equations #basins-of-attraction
92
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Prove that realized variance converges in probability to integrated variance for Ito process

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#stochastic-processes #stochastic-calculus #finance #stochastic-differential-equations
34
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Question on Markov property

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#stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
110
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Decompose the Laplace transform of autocorrelation function of a stachastic process using Wiener-Kolmogorov whitening procedure

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#reference-request #stochastic-processes #stochastic-calculus #stochastic-differential-equations
470
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What are the most known and optimized libraries for SDE in Python?

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#ordinary-differential-equations #computational-mathematics #stochastic-differential-equations #python #computational-science
316
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Using Ito's lemma to determine Expected value and Variance of GBM

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-differential-equations
144
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Issues with solving a Stochastic Differential Equation

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#stochastic-calculus #stochastic-analysis #stochastic-differential-equations

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