List questions from brownian-motion

Published on 03 Apr 2026 - 2:10

255

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Hitting time for Brownian motion with upper reflecting boundary

Published on 30 Mar 2026 - 0:04

209

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Time to exit strip for a geometric brownian motion

Published on 09 Dec 2015 - 17:34

2k

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Check solution to the SDE $dX_t = - \mu X_t \, dt+ \sigma \, dW_t$

Published on 29 Mar 2026 - 9:11

948

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Ito integral for Brownian motion

Published on 10 Apr 2026 - 23:03

67

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is this processes a martingale

Published on 11 Apr 2026 - 6:34

1.4k

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Suppose $X_t$ is a brownian motion with $X_0 \sim u_0$. What is the probability density of $X_t$? (heat equation)

Published on 30 Mar 2026 - 8:26

254

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Simulation of Brownian motion and white noise.

Published on 11 Apr 2026 - 5:04

840

Views

modulus of continuity of Brownian Motion

Published on 06 Apr 2026 - 17:51

64

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Recurrence of $\int^t_0W_s ds$, where $W$ is a Brownian Motion

Published on 15 Dec 2015 - 16:19

580

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Expectation of product of stochastic integral and predictable process

Published on 11 Apr 2026 - 0:19

1.5k

Views

Expectation of a function of Brownian motions

Published on 06 Apr 2026 - 0:18

1.5k

Views

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

Published on 24 Feb 2026 - 0:15

239

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When does convergence in quadratic variation imply a uniform convergence or vice versa?

Published on 23 Feb 2026 - 13:43

4.6k

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Show a geometric brownian motion is a martingale

Published on 18 Dec 2015 - 3:35

List Question

Check process is a martingale

Hitting time for Brownian motion with upper reflecting boundary

Time to exit strip for a geometric brownian motion

Check solution to the SDE $dX_t = - \mu X_t \, dt+ \sigma \, dW_t$

Ito integral for Brownian motion

is this processes a martingale

Suppose $X_t$ is a brownian motion with $X_0 \sim u_0$. What is the probability density of $X_t$? (heat equation)

Simulation of Brownian motion and white noise.

modulus of continuity of Brownian Motion

Recurrence of $\int^t_0W_s ds$, where $W$ is a Brownian Motion

Expectation of product of stochastic integral and predictable process

Expectation of a function of Brownian motions

Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative

When does convergence in quadratic variation imply a uniform convergence or vice versa?

Show a geometric brownian motion is a martingale

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