Question

How can I show that the stochastic integral $\int_0^t (1-B_s-s)e^{-B_s-\frac{s}{2}} dB_s$ is a martingale?

score 85 · Answer 1 · 2026-03-30 16:46:53

85

Views

How can I show that the stochastic integral $\int_0^t (1-B_s-s)e^{-B_s-\frac{s}{2}} dB_s$ is a martingale?

Published on 30 Mar 2026 - 16:46

score 59 · Answer 2 · 2024-01-09 07:30:44

59

Views

Absolute value of O-U process also stationary and Markov?

Published on 09 Jan 2024 - 7:30

score 72 · Answer 3 · 2026-03-28 23:10:40

72

Views

Showing $e^{\alpha N_t}W_t$ is a mixed process

Published on 28 Mar 2026 - 23:10

score 81 · Answer 4 · 2026-03-29 03:35:42

81

Views

Brownian motion on product manifolds with the product metric

Published on 29 Mar 2026 - 3:35

score 63 · Answer 5 · 2024-01-13 20:50:38

63

Views

Showing a subset of $C([0,\infty))$ is $\mathcal{B}(C([0,\infty)))$ Measurable.

Published on 13 Jan 2024 - 20:50

score 131 · Answer 6 · 2026-02-23 10:06:11

131

Views

Cancelations on the limits of occupation times of Brownian motion

Published on 23 Feb 2026 - 10:06

score 52 · Answer 7 · 2024-01-20 05:06:06

52

Views

How to evaluate $\lim_{n \to \infty} \sum_{j=1}^n |f(\frac{j}{n}) - f(\frac{j-1}{n})|^{3/2}$?

Published on 20 Jan 2024 - 5:06

score 65 · Answer 8 · 2026-03-30 16:48:36

65

Views

Does the Itô integral rely on the martingale structure of the driving Brownian motion?

Published on 30 Mar 2026 - 16:48

score 55 · Answer 9 · 2024-01-22 12:28:44

55

Views

If an SDE is driven by a Brownian motion, do their filtrations contain the same information?

Published on 22 Jan 2024 - 12:28

score 134 · Answer 10 · 2026-03-28 11:45:10

134

Views

Last hitting time of $0$ of a Brownian motion in $[0,1]$ is a.s. less than one?

Published on 28 Mar 2026 - 11:45

score 37 · Answer 11 · 2024-01-23 11:21:16

37

Views

Almost sure equality between two sets involving a brownian motion

Published on 23 Jan 2024 - 11:21

score 185 · Answer 12 · 2026-02-23 09:48:03

185

Views

Can a Brownian Motion be scaled by a random time still be a brownian motion?

Published on 23 Feb 2026 - 9:48

score 65 · Answer 13 · 2024-01-25 10:23:37

65

Views

Infinite dimensional stochastic process that integrates to Brownian motion

Published on 25 Jan 2024 - 10:23

score 26 · Answer 14 · 2026-03-25 03:19:19

26

Views

CLT for spatiotemporal processes having a white noise limit

Published on 25 Mar 2026 - 3:19

score 35 · Answer 15 · 2024-01-29 17:36:09

35

Views

References for Ito Processes of the Diffusion type

Published on 29 Jan 2024 - 17:36

List Question

How can I show that the stochastic integral $\int_0^t (1-B_s-s)e^{-B_s-\frac{s}{2}} dB_s$ is a martingale?

Absolute value of O-U process also stationary and Markov?

Showing $e^{\alpha N_t}W_t$ is a mixed process

Brownian motion on product manifolds with the product metric

Showing a subset of $C([0,\infty))$ is $\mathcal{B}(C([0,\infty)))$ Measurable.

Cancelations on the limits of occupation times of Brownian motion

How to evaluate $\lim_{n \to \infty} \sum_{j=1}^n |f(\frac{j}{n}) - f(\frac{j-1}{n})|^{3/2}$?

Does the Itô integral rely on the martingale structure of the driving Brownian motion?

If an SDE is driven by a Brownian motion, do their filtrations contain the same information?

Last hitting time of $0$ of a Brownian motion in $[0,1]$ is a.s. less than one?

Almost sure equality between two sets involving a brownian motion

Can a Brownian Motion be scaled by a random time still be a brownian motion?

Infinite dimensional stochastic process that integrates to Brownian motion

CLT for spatiotemporal processes having a white noise limit

References for Ito Processes of the Diffusion type

Trending Questions

Popular # Hahtags

Popular Questions