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Results tagged with stochastic-calculus
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user 128523
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Singular direction of a particle system
Consider a system of n-sdes in $\mathbb{R}$ ( the formula is not important).
The corresponding particle system $X(t)=(X_{1}(t),X_{2}(t),...,X_{n}(t))$ lives in $\mathbb{R}^{n}$ and assume that fo …
- 165
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Stationary distribution of overdamped Langevin dynamics
Consider the over damped Langevin dynamics: $d X_{t} = d B_{t} - \nabla U(X_{t}) dt $ on $\mathbb{R}^{d}$ where $B_t$ is a standard Brownian motion. On pages 29 and 30 of the following book
Roye …
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