Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with stochastic-differential-equations
Search options not deleted
user 60556
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.
3
votes
1
answer
252
views
inhomogeneous Ornstein-Ulhenbeck process / invariant probability measure
Let $\gamma$ be a continuous function from $\mathbb{R}^+$ to $\mathbb{R}^+$ and consider the real valued inhomogeneous Ornstein-Uhlenbeck process satisfying
$$
d X_t = -\gamma_t X_t d t + d W_t, \qua …
- 365
1
vote
0
answers
44
views
numerical scheme for SDE and empirical estimation of rate of convergence
Consider $\{X_t , t \geq 0 \}$ real valued diffusion satisfying
$$
d X_t = b(X_t) d t + \sigma (X_t) d W_t, \quad X_0 = x \in \mathbb{R}
$$
where $b, \sigma$ are well-behaved functions and $W$ is a r …
- 365
2
votes
0
answers
153
views
probabilistic interpretation of a finite difference scheme
Let me start with some simple background.
Consider the heat equation :
$
\frac{\partial p}{ \partial t} = \frac{1}{2} \frac{\partial^2 p}{\partial y^2} \quad \mbox{in} \quad \mathbb{R}\times (0,\in …
- 365
4
votes
1
answer
380
views
Hitting time of an Ornstein-Ulhenbeck process
If we consider a nice Ornstein-Uhlenbeck process
$d x (t) = - \gamma x(t) \,dt + \sigma \,d w (t)$
with $x(0) = x_0 \in (-L,L)$.
Here $\gamma, \sigma$ are positive constants and $w(t)$ is a Wiener pro …
- 365