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Results tagged with stochastic-differential-equations
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user 108773
Stochastic ordinary and partial differential equations generalize the concepts of ordinary and partial differential equations to the setting where the unknown is a stochastic process.
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Modified square root process
I am dealing with the following stochastic differential equation (SDE)
$ \begin{cases} dS_t &= \mu S_t dt + \sigma_1 S_tdW^1_t\\dG_t &= kS_t(\alpha - G_t)dt + \sigma_2\sqrt{G_tS_t}dW^2_t
\end{cases} …
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