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May
17
awarded  Student
May
16
revised Order 1.5 strong SDE integration methods for systems with diagonal additive noise
Added additional note at end of last paragraph
May
13
asked Order 1.5 strong SDE integration methods for systems with diagonal additive noise
Jul
29
awarded  Autobiographer
Jul
26
revised A question on Ito
added 179 characters in body
Jul
26
revised A question on Ito
Cleaned up LaTeX a bit more, capitalized w_t (we owe it to Mr. Wiener)
Jul
26
suggested approved edit on A question on Ito
Jul
26
awarded  Editor
Jul
26
revised A question on Ito
added 96 characters in body
Jul
26
answered A question on Ito
Jul
16
comment close form for stochastic integral
If the SDE is written correctly, that is not an Ornstein-Uhlenbeck process and your integrals don't seem to match it either. An O-U process has additive noise (i.e., diffusion function is not a function of the state variable) while the SDE as written has multiplicative noise. Also, an O-U process definitely does have a known analytical solution (see Doob, Ann. Math. 43, 1942).
Jul
6
awarded  Informed
Jul
5
awarded  Supporter