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Results tagged with stochastic-differential-equations
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user 83631
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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Weak solutions of linear parabolic PDEs and corresponding SDEs
It is well known that for an Stochastic differential equation (on the real line) of the form:
$dX_t = \mu(X_t)dt + \sigma(X_t)dW$
where $W$ is the standard Wiener process, the transition probability d …
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