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Results tagged with stochastic-differential-equations
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user 167519
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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Finite dimensional distribution of a stochastic process Lipschitz on every relatively compac...
Let $X_t$ be a Markovian Itô diffusion process, defined by an SDE
\begin{equation}
dX_t = \mu(X_t)\,dt + \sigma(X_t)\,dW_t\,.
\end{equation}
Let $f(x,t|x_0,0)$ denote its transition density function. …
