Flashcards
Chapter 7: Stochastic Differential Equations
Cards in this deck (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?
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- Masters Stochastic Processes and FInance Flashcards on Chapter 7: Stochastic Differential Equations, created by mho1 on 07/06/2015.
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- mho1
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