Fichas
Chapter 7: Stochastic Differential Equations
Fichas del conjunto (18)
- 1Stochastic differential equation (SDE)
- 2There is no reason why (in general) a solution to a SDE should exist. Even when they do exist they may not be unique.remark
- 3Lipschitz (function)
- 4Criteria for existence and uniqueness of a solution to the SDE:
- 5Proposition: relationship of Lipschitz with continuous, differentiable, linear growth...
- 6Homogeneous SDEremove the time dependence in the first variable from f and g, i.e.
- 7Brownian motion is the unique solution to the SDE....
- 8Brownian motion with drift is the unique solution to the SDE...
- 9Stochastic Exponential of dM(t)=F(t)dB(t)+G(t)dt
- 10The stochastic exponential of dM(t)=F(t)dB(t)+G(t)dt is the unique solution to the SDE...
- 11Geometric Brownian Motion
- 12geometric Brownian motion is the unique solution of the SDE...
- 13The Ornstein-Uhlenbeck process
- 14The Ornstein Uhlenbeck process is the unique solution to the SDE...
- 15Linear SDE with additive noise has unique solution...
- 16diffusion process
- 17The solution to a homogeneous SDE is...
- 18If Y is the unique solution to (7.1.3), what is its associated pde? And what is the unique solution to the pde?
Información
- Descripción
- Masters Stochastic Processes and FInance Fichas sobre Chapter 7: Stochastic Differential Equations, creado por mho1 el 07/06/2015.
- Creado por
- mho1
- Visitas
- 6
- Etiquetas
- Valoración