Answer by WHLin for Moment of Ito diffusion computationally
One way is to numerically integrate the SDE similar to ODE. The expectation could be obtained by averaging many trajectories. See:https://en.wikipedia.org/wiki/Euler%E2%80%93Maruyama_methodAnother way...
View ArticleAnswer by user6247850 for Moment of Ito diffusion computationally
$X$ can be thought of as just a collection of random variables $(X_t)_{t \in [0,\infty)},$ and their expected value can be defined the same way as any other random variable's.More formally, let...
View ArticleMoment of Ito diffusion computationally
Say, we have an SDE$$ \mathrm d X_t = f(X_t) \mathrm d t + \sigma(X_t) \mathrm d W_t $$where $W_t$ is a Wiener process.Assuming a strong solution exists globally (so the 1st and 2nd moments should be...
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