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Results tagged with stochastic-differential-equations
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user 514744
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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Generating realizations from $n$-dimensional geometric Brownian motion where the variables a...
Is there a way to simulate an $N$-dimensional geometric Brownian motion i.e. variable $$x_i, i \in [1, N] $$ is diffusing in log-space such that $$\log (x_i)$$ follows a Brownian motion with a given …
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