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Results tagged with stochastic-differential-equations
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user 169351
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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Autocorrelation function of Itô process
I'm working with a time independent (vector) Itô SDE such as:
$$
dX = a(X) dt + b(X) dW.
$$
I've looked (numerically) at several examples and it seems that the autocovariance function $r_{xx}(\Delta t …
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