List questions from brownian-motion

Published on 18 Dec 2015 - 10:24

93

Views

Quadratic variation along a sequence of subpartitions

Published on 23 Feb 2026 - 13:43

225

Views

What is the formula for a likelihood ratio $L$ that transforms martingale Geometric BM to Geometric BM with positive growth?

Published on 11 Apr 2026 - 3:41

98

Views

Brownian Motion and Poisson's problem

Published on 26 Mar 2026 - 21:27

1.9k

Views

Clarification on the Augmented Filtration

Published on 11 Apr 2026 - 9:48

194

Views

On the independence and stationarity of supremum of increments of a Brownian Motion

Published on 22 Dec 2015 - 13:02

9.5k

Views

Mean of exponential Brownian motion

Published on 06 Apr 2026 - 21:15

1.1k

Views

What is the "distributional derivative" of a Brownian motion?

Published on 27 Dec 2015 - 16:13

1.7k

Views

Is the variance of an integral the same as the integral of the variance?

Published on 28 Dec 2015 - 1:50

101

Views

Compute a conditional probability

Published on 10 Apr 2026 - 22:18

820

Views

Why is the integral $\int_0^1t\,dW_t$ a normal random variable?

Published on 03 Apr 2026 - 3:54

653

Views

Is this process a martingale?

Published on 06 Apr 2026 - 1:49

2.4k

Views

What is a "continuous modification"? And can we always modify an almost surely continuous process, such that every path is continuous?

Published on 30 Dec 2015 - 15:05

315

Views

Show that the solution to a stochastic differential equation is satisfied by the following

Published on 03 Apr 2026 - 4:03

711

Views

Solve the integral $\frac 1 {\sqrt {2 \pi t}}\int_{-\infty}^{\infty} x^2 e^{-\frac {x^2} {2t}}dx$

Published on 01 Jan 2016 - 19:38

List Question

exercise 3.3.34 from Karatza and Shreve

Quadratic variation along a sequence of subpartitions

What is the formula for a likelihood ratio $L$ that transforms martingale Geometric BM to Geometric BM with positive growth?

Brownian Motion and Poisson's problem

Clarification on the Augmented Filtration

On the independence and stationarity of supremum of increments of a Brownian Motion

Mean of exponential Brownian motion

What is the "distributional derivative" of a Brownian motion?

Is the variance of an integral the same as the integral of the variance?

Compute a conditional probability

Why is the integral $\int_0^1t\,dW_t$ a normal random variable?

Is this process a martingale?

What is a "continuous modification"? And can we always modify an almost surely continuous process, such that every path is continuous?

Show that the solution to a stochastic differential equation is satisfied by the following

Solve the integral $\frac 1 {\sqrt {2 \pi t}}\int_{-\infty}^{\infty} x^2 e^{-\frac {x^2} {2t}}dx$

Trending Questions

Popular # Hahtags

Popular Questions