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Results tagged with stochastic-differential-equations
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user 81488
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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Local martingale for a (two-dimensional) diffusion
Let $X$ be a two-dimensional diffusion (a solution of $dX_t=f(X_t)\,dt+dB_t$, with $B$ a standard two-dimensional Brownian motion) living on some open set $\Lambda\subset \mathbb{R}^2$. Let $h:\Lambda …
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