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Results tagged with stochastic-calculus
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user 15570
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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Has this type of pathwise (S)DE been studied before?
I thought of a possible type of pathwise-defined nonautonomous/stochastic differential equation, and I was wondering if it has been studied before.
Let $(G,\ast)$ be an abelian $C^1$ Lie grou …
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For a SDE with smooth transition densities, if every point is "path-accessible", is every po...
By adapting the arguments in Sec. 3.3.6.1 of the Michel & Pardoux notes linked to by Nawaf Bou-Rabee, I think I can prove the result. (I will assume for simplicity that the SDE has global existence of …
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For a SDE with smooth transition densities, if every point is "path-accessible", is every po...
Suppose we have a $C^\infty$ manifold $M$ and $C^\infty$ vector fields $b,\sigma_1,\ldots,\sigma_k$ on $M$, and for convenience define the set of vector fields
$$ \mathcal{S} = \{b,\sigma_1,-\sigma_1, …
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