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Define the second order linear differential operator associated with $X$ (Here $X$ is the unique strong solution to appropriate Ito SDE) by $$A = \frac{1}{2} \sigma^2(x) \frac{d^2}{dx^2} + \mu(x) \...

It is well known how to solve the linear stochastic ODEs with one source of noise $$dX_t=(a(t)X_t+c(t))dt+(b(t)X_t+d(t))dW_t$$ See, for instance, https://math.stackexchange.com/questions/1788853/...

Assume we are given the system of linear stochastic differential equations $$dx_i = \sum_{j=1}^n a_{ij}(t) \cdot x_j \cdot dt + \sum_{j=1}^n \sigma_{ij}(t) \cdot x_j \cdot dB_{ij,t} + b_j(t)\cdot dt+\...

I'm dealing with the following problem: Choose $Z_0 \in [0,1]$ and define a process governed by the following discrete stochastic equation: $Z_{k+1}-Z_k=P_k(1-2Z_k)$ where $P_k=0$ with probability $...

Are there any specialized Computer Algebra Systems (or packages for these) for finding closed form solutions to a) partial differential equations, b) stochastic differential equations? If yes, what ...