Timeline for A solution to stochastic PDE $du(t)= a(t)u(t)\,dt +s(t)\,dz$
Current License: CC BY-SA 3.0
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| Feb 26, 2017 at 18:07 | comment | added | Adam | Differentiating the integral formula, I get $du(t)=e^{\int_{t_0}^{t} a(s)ds}a(t) dt\cdot u(t_0)+\sigma(t)dz$. How do I reconcile it with $du=a(t)u(t)dt+\sigma(t)dz$? (I only see that when t is infinitesimally close to $t_0.$) | |
| Feb 26, 2017 at 3:50 | history | answered | JGWang | CC BY-SA 3.0 |