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3 questions
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SDE with non-degenerate diffusion visits every point
I am asking an extension of the question here for SDEs of the Ito form.
Consider the SDE $dX_t =\sigma(X_t) dW_t$, where $W$ is a $d$-dimensional Brownian motion and $\sigma:\mathbb{R}^n\to \mathbb{R}...
2
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3
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470
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Existence of solution to SDE with perscribed initial and terminal conditions
The SDEs \begin{equation}
dZ_t = \mu(t,Z_t)dt + \sigma(t,Z_t)dW_t
\end{equation} with prescribed initial conditions are well studied. My question came up in my research and I have not found much on ...
1
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1
answer
482
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Wong-Zakai smooth approximation in probabilty for stochastic differential equations
I'm looking for a result of the form: Let $B_\epsilon$ denote a "natural" smooth $\epsilon$-approximation to an $n$-dimensional Brownian motion $B$ (e.g. by mollification or simply piecewise linear) ...