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Results tagged with stochastic-calculus
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user 493556
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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Lower bound of $\mathbb P[\sup_{t-\theta\le s\le t}|X_s-x|\le \varepsilon \mid X_t=x]$ (with...
Let $X$ be the solution to some stochastic differential equation
$$dX_t =b(X_t) \, dt+a(X_t) \, dW_t,\quad \forall t>0.$$
Here $b,a: \mathbb R^d \to\mathbb R^d$ are bounded and Lipschitz and $W$ denot …
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