William S. Wong

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3	Backward PDE for a mean-reverting stochastic process
2	Wiener Process $dB^2=dt$
1	Relation between $\text{d}M_t$ and $\text{d}B_t$ when $M_t=\max_{0\leq s\leq t}B_s$
0	How to solve this uni-variate equation?
0	How to find a solution to this PDE?

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187 Reputation

+10	Relation between $\text{d}M_t$ and $\text{d}B_t$ when $M_t=\max_{0\leq s\leq t}B_s$
+2	Inverse Laplace Transform : $ F(s)=\frac{2 \omega^3}{(s^2+\omega^2)^2} $
+2	Show that $f(x)=\cos x$ is uniformly continuous in $\mathbb{R}$, directly from the definition
+10	Backward PDE for a mean-reverting stochastic process

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1 Question

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3	Backward PDE for a mean-reverting stochastic process

8 Tags

4 stochastic-processes × 4	1 stochastic-integrals × 2
3 brownian-motion × 2	0 numerical-methods
3 homework × 2	0 pde
1 stochastic-calculus × 2	0 real-analysis

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