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Results tagged with stochastic-calculus
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user 17219
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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Solving SDE's on subsets of $R^n$.
I posted this on mathstackexchange to no avail.
It is well-known (see for instance Oskendal's text) that if $T>0$ and
$$b(\cdot,\cdot): [0,T] \times \mathbb{R}^n \rightarrow \mathbb{R}^n~~~~~~\sigma( …
- 461