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Results tagged with stochastic-calculus
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user 88535
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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answers
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Exit time of a stochastic process defined by a SDE
Let $\mathcal{P}$ be a "small particle" trapped in a $n$-dimensional potential. We will assume the dynamics of $\mathcal{P}$ are well described by the stochastic differential equation
\begin{align*}
\ …
- 205
6
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answer
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How to calculate the PSD of a stochastic process
This question was asked on math.stackexchange about 2 months ago, but it hasn't been very successful in attracting answers yet, so I'm posting it here.
Say we have a stochastic process described by a …
- 205
2
votes
0
answers
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Floquet stochastic process
Let $X_t$ be defined by the SDE
$$
dX_t = A(t, X_t)dt + dW_t
$$
where $A(t, X_t)$ is linear in $X_t$ and periodic in $t$. Assume also that the process is stable. If $A(\cdot)$ didn't have $t$ depend …
- 205
2
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Geometric ergodicity of dynamical system
I'm working with dynamical systems defined by ODEs and SDEs, in this latter case gradient systems in particular, a special case of Ito diffusions.
I've read that under reasonable assumptions this gr …
- 205