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Results tagged with stochastic-calculus
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user 42537
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.
2
votes
On the pathwise uniqueness of solutions of SDEs(Stochastic Differential Equations)
I do not provide a proof here, but I guess the answer to the question "Is it true that $P(\Omega_0)=0$" is NO. I will give an answer to a simpler, yet similar question which is inspired by a great art …
- 271
0
votes
Accepted
On the existence and uniqueness of solution to SPDE with nonlinear growth coefficients
Call the drift term $b(u) = u (K- u)$ and for simplicity set $K=1$. Consider the following space of functions:
$$C_{\text{tem}}(\mathbb{R},\mathbb{R}) = \{ f:\mathbb{R} \to \mathbb{R}:\, \sup_{x \in \ …
- 271