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Results tagged with pr.probability
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user 29661
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
6
votes
2
answers
551
views
Ito diffusion with highly oscillatory diffusion coefficient
Consider the stochastic differential equation on $\mathbb R$
$$
dx_t = f(x_t) dt + g(\omega t)\, dW_t
$$
with $W_t$ a standard Brownian motion, $f:\mathbb R \to \mathbb R$ a smooth function, and $g: …
- 3,069