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Results tagged with stochastic-calculus
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user 22570
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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change the sign of volatility
Assume the time inhomogeneous SDE
$dX(t)=\mu(t,X(t))dt+\sigma(t,X(t))dW(t)$
has a solution $X(t)$. If we replace $\sigma$ with its absolute value, does the new SDE
$dY(t)=\mu(t,Y(t))dt+|\sigma(t,Y(t) …
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