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Results tagged with stochastic-differential-equations
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user 178640
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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Exit probability on a finite interval
I have a question about the estimate of the exit probability on a finite interval. Given a $q$ function bounded and continuous, given the following SDE
\begin{cases}
dX_s=(\beta-q(s))X_sds+\frac{1}{2 …
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