New posts in stochastic-differential-equations

Exit time of a stochastic process defined by a SDE

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Solving SDEs in a pathwise manner?

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Stochastic Differential Equation solution for Geometric Brownian Motion

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A question about SDE and geometric Brownian motion.

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Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$

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Solving a stochastic differential equation with trigonometric functions

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Solution to General Linear SDE

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How is the simulation done of the black scholes model?

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Is an SDE really equal to an integral equation, or is it rather "its integral" that is?

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Solve the linear SDE $dX_t = aX_t \, dt +(b+cX_t) \, dW_t$

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Initial Distribution of Stochastic Differential Equations

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Understanding the definitions of weak and strong solutions in SDEs [duplicate]

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Is the transition semigroup of the solution of an SDE with Lipschitz coefficients strongly continuous on $C_b$?

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Deriving the SPDE from its solution

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Find SDE satisfied by transformation of solution to a different SDE

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Detailed balance for the Fokker-Planck equation

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Why do people write stochastic differential equations in differential form?

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Infinitesimal generator of the Brownian motion on a sphere

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Why are SDEs wrt different variables?

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Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$

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