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Results tagged with stochastic-differential-equations
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user 473033
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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Let $(X, W)$ be a weak solution to a SDE. Is $W$ a Brownian motion w.r.t. $\sigma(X_s : s \l...
Let $(X, W)$, $(\Omega, \mathcal{F}, \mathbb{P})$, $\{\mathcal{F}_t\}$ be a weak solution to an SDE.
Per definition $W$ is an $\mathcal{F}_t$-Brownian motion and both $X$, $W$ are adapted to $\mathcal …
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