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New posts in stochastic-differential-equations
Name of the formula transforming general SDE to linear
stochastic-calculus
stochastic-differential-equations
If X is $\overline{\sigma(Y)}$-measureable, then X is already $\sigma(Y)$-measureable a.s.? [closed]
probability
probability-theory
stochastic-processes
stochastic-calculus
stochastic-differential-equations
Using Markov Property in solving PDE/SDE
probability-theory
partial-differential-equations
stochastic-processes
stochastic-calculus
stochastic-differential-equations
Numerically solving SDE in Python
reference-request
numerical-methods
stochastic-differential-equations
python
Weak solution of SDE, Tanaka equation
probability-theory
stochastic-processes
stochastic-calculus
martingales
stochastic-differential-equations
Difference between weak ( or martingale ) and strong solutions to SDEs
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-differential-equations
Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$
probability-theory
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-differential-equations
how to do such stochastic integration $dS = a S^b dt + c S dW$?
stochastic-integrals
stochastic-differential-equations
Geometric Brownian motion and its inverse
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-differential-equations
Possible Close-form solution for 2 dimensional $\frac{d\Sigma}{dt} = \mathbf{A}\Sigma + \Sigma \mathbf{A}^T + \mathbf{B}\mathbf{B}^T$
linear-algebra
ordinary-differential-equations
matrix-equations
matrix-calculus
stochastic-differential-equations
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