Timeline for Estimating the hitting time for a SDE solution
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
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| Feb 26, 2023 at 7:05 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jan 27, 2023 at 5:02 | answer | added | Thomas Kojar | timeline score: 1 | |
| Nov 19, 2020 at 19:13 | comment | added | gradstudent | $X(0) = x_0$ suppose | |
| Nov 17, 2020 at 12:19 | comment | added | Nawaf Bou-Rabee | What is the initial condition of $X(t)$? | |
| Nov 3, 2020 at 0:03 | comment | added | Pierre PC | I don't. I'm not even saying I could do the exercise, I'm just throwing ideas. | |
| Nov 2, 2020 at 21:28 | comment | added | gradstudent | Do you have a reference for such a calculation? I couldnt find anything like this estimation done anywhere! | |
| Nov 2, 2020 at 19:29 | comment | added | Pierre PC | Then you can play with the fact that $F(Y_t)^2-t$ is a martingale for $F(y)=\int_0^y\exp(w^2)dw$, as well as the explicit representation of $Y_t$. | |
| Nov 2, 2020 at 19:27 | comment | added | Pierre PC | Estimate as what goes to what? I assume it's as $x$ goes to infinity, but in that case I'm not sure how to make sense of your second question. For the first, I would for convenience find $a$ and $b$ such that $Y_t=a(X_{by}-x_0)$ satisfies $dY_t=-Y_tdt+dB'_t$. | |
| Nov 2, 2020 at 2:02 | history | edited | gradstudent | CC BY-SA 4.0 |
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| Nov 2, 2020 at 1:37 | history | asked | gradstudent | CC BY-SA 4.0 |