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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

4 votes

Solving SDE's on subsets of $R^n$.

This is more of a suggestion than an answer, but I came across a similar issue with regard to Itō's formula (i.e., a C^2 function f is defined only on some domain, and you want to show that Itō's form …
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