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Deriving forward Fokker-Planck equation.

Published on
#ordinary-differential-equations #stochastic-processes #stochastic-pde
213
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In what sense is the product Gaussian measure on $\Bbb R^{\Bbb R}$ a Gaussian measure?

Published on
#probability #banach-spaces #stochastic-analysis #stochastic-pde
163
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Solution of the non-linear Heat Equation

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#partial-differential-equations #regularity-theory-of-pdes #linear-pde #parabolic-pde #stochastic-pde
188
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Spectral density of stochastic partial differential equations

Published on
#functional-analysis #ordinary-differential-equations #partial-differential-equations #fourier-analysis #stochastic-pde
788
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Why is the gaussian free field a distribution but Brownian motion is a function?

Published on
#probability-theory #stochastic-processes #stochastic-calculus #stochastic-pde
67
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Stochastic Fubini (Da Prato & Zabcyzk)

Published on
#functional-analysis #measure-theory #stochastic-processes #stochastic-pde
218
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White noise is not a signed measure for fixed $\omega$

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#probability-theory #stochastic-processes #stochastic-analysis #stochastic-pde
186
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Deterministic Integral of a Predictable Process is Predictable

Published on
#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-pde
62
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Standard Brownian motion almost surely not $0$.

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-pde
39
Views

Finding a strong solution to $X_t := (A_tX_t+a_t)dt+(S_tX_t+\sigma_t))dB_t$

Published on
#stochastic-processes #brownian-motion #stochastic-analysis #stochastic-pde
148
Views

Fokker-Planck equation for a Markov semigroup with densities

Published on
#partial-differential-equations #markov-process #stochastic-analysis #stochastic-differential-equations #stochastic-pde
166
Views

Volatility in an at-the-money call option

Published on
#stochastic-calculus #finance #stochastic-pde
96
Views

Finding relationship between solutions of two different first order linear PDEs (using Feynman-Kac)

Published on
#partial-differential-equations #stochastic-calculus #stochastic-pde
673
Views

Change of variables in stochastic PDE

Published on
#stochastic-processes #change-of-variable #stochastic-pde
81
Views

Bounds for the Green function of heat equation

Published on
#real-analysis #partial-differential-equations #stochastic-processes #stochastic-pde

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