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Invariant distribution of an Itô diffusion
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Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Stochastic calculus
Stochastic differential equation
2026-09-28
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For
D
=
σ
σ
T
/2
,
a
density
π
is invariant for
d
X
=
b
d
t
+
σ
d
B
exactly when the stationary
Fokker-Planck equation
∇
⋅
(
bπ
−
∇
⋅
(
D
π
))
=
0
holds with suitable boundary decay.
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Stochastic differential equation
Stochastic calculus
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2023
/
iii
/
Paper 216
/
4
/
c
/
Solution
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