List questions from brownian-motion

Published on 08 Apr 2026 - 19:50

52

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Brownian motion: Why $p_x\{B_{T_{a,b}}=b\}=p_x\{\tau_a<\tau_b\}$?

Published on 10 Jun 2015 - 10:16

393

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Why $\mathbb E[B_t^2]=t\implies B_t\sim\sqrt t$?

Published on 10 Jun 2015 - 12:51

418

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Ito Integral Properties with Brownian Motion

Published on 02 Apr 2026 - 16:01

575

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Construction on Ito Integral with Brownian Motion

Published on 02 Apr 2026 - 16:01

341

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Distribution of Black Scholes call option price at time 0<t <T

Published on 01 Apr 2026 - 4:38

789

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Ito's Isometry using Brownian Motion

Published on 02 Apr 2026 - 16:01

180

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Find the distribution of some random variable connected to Wiener Process. Please, check my solution.

Published on 08 Apr 2026 - 21:04

50

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Find parameters so that random variables (connected to Brownian movement) are independent.

Published on 11 Jun 2015 - 21:36

1.7k

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Showing time changed brownian motion is martingale.

Published on 04 Apr 2026 - 10:59

73

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Brownian motion: Problem with some definition.

Published on 08 Apr 2026 - 12:35

44

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Brownian motion: Why $p\{B_u\neq 0\text{ for }0\leq u\leq t\mid B_0=a, B_t=b\}=1-e^{-\frac{2ab}{t}}$?

Published on 12 Jun 2015 - 12:52

1.6k

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Cross Variation of two stochastic processes

Published on 23 Feb 2026 - 12:01

192

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$\frac{dy_t}{dt} = a \frac{dx_t}{dt} + x_t +y_t$ with $x_t$ Ornstein Uhlenbeck process - what to do? [UNRESOLVED]

Published on 15 Jun 2015 - 14:04

436

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Expectation of Integral of Brownian Motion

Published on 04 Apr 2026 - 6:41

List Question

What is a valid range of applicability of Ito Lemma?

Brownian motion: Why $p_x\{B_{T_{a,b}}=b\}=p_x\{\tau_a<\tau_b\}$?

Why $\mathbb E[B_t^2]=t\implies B_t\sim\sqrt t$?

Ito Integral Properties with Brownian Motion

Construction on Ito Integral with Brownian Motion

Distribution of Black Scholes call option price at time 0<t <T

Ito's Isometry using Brownian Motion

Find the distribution of some random variable connected to Wiener Process. Please, check my solution.

Find parameters so that random variables (connected to Brownian movement) are independent.

Showing time changed brownian motion is martingale.

Brownian motion: Problem with some definition.

Brownian motion: Why $p\{B_u\neq 0\text{ for }0\leq u\leq t\mid B_0=a, B_t=b\}=1-e^{-\frac{2ab}{t}}$?

Cross Variation of two stochastic processes

$\frac{dy_t}{dt} = a \frac{dx_t}{dt} + x_t +y_t$ with $x_t$ Ornstein Uhlenbeck process - what to do? [UNRESOLVED]

Expectation of Integral of Brownian Motion

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