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Results tagged with stochastic-differential-equations
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user 504685
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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Phase space Brownian bridge
I understand the concept of the 1 dimensional Brownian bridge with the form of:
$$dx_t=\frac{-1}{1-t}x_t \, dt + dw_t$$
s.t. $x_0=0$ and $x_1=0$
where $dw_t$ is a Wiener process.
I am thinking about t …
- 3,808