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Results tagged with stochastic-differential-equations
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user 116983
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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votes
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answer
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Infinite-time, Path-Dependent Expected Value of an Orstein-Uhlenbeck process
I am dealing with an Orstein-Uhlenbeck process $X_t$ with its stochastic differential equation being
$$dX_t=(\mu-X_t)dt+\sigma dW_t.$$
I want to show
$$\mathbb{E}\left[\frac{|X_\infty|}{\int_{0}^{\ …
- 389