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Cylindrical Brownian motion?

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73
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Showing a joint process is markov

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134
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Deriving the SPDE from its solution

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70
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A continuous $\overline{\mathbb{F}^W}$ - adapted process X is $\sigma(W)$ - measureable.

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#probability-theory #stochastic-processes #stochastic-analysis #stochastic-differential-equations #stochastic-pde
266
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Reference for proof that an SDE with locally Lipschitz coefficients and linear growth has a unique strong solution

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71
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Time marginal of Brownian motion and Heat Equation

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96
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Killing the nonlinearity in SPDE

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87
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State constraint on stochastic optimal control

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#stochastic-calculus #stochastic-differential-equations #optimal-control #stochastic-pde #hamilton-jacobi-equation
197
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Forward Fokker-Planck equation for stochastic differential equation with colored noise

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207
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Show that every continuous Lévy process is a Wiener process

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#probability-theory #stochastic-processes #stochastic-analysis #levy-processes #stochastic-pde
64
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Show that $\operatorname E\left[\|X\|^n\right]<\infty$ implies that the characteristic function of $X$ is $n$-times differentiable

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#probability-theory #stochastic-analysis #stochastic-pde
49
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Can I use Feyman-Kac here when the derivative is squared?

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#stochastic-processes #brownian-motion #martingales #stochastic-differential-equations #stochastic-pde
112
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About an SDE problem

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#probability #stochastic-calculus #ergodic-theory #stochastic-differential-equations #stochastic-pde
90
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Martingale processes

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45
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Can stochastic PDE theory be applied to elliptic PDE to get the solvability when it's hard to use traditional prior estimate or flow approach

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#partial-differential-equations #stochastic-calculus #elliptic-equations #stochastic-pde

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