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Simulation of brownian motion and fractional brownian motion

score 1.6k · Answer 1 · 2026-03-30 15:30:54

1.6k

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Simulation of brownian motion and fractional brownian motion

Published on 30 Mar 2026 - 15:30

score 23 · Answer 2 · 2026-04-01 20:06:09

23

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Is $\lim_{S\rightarrow T} \frac{1}{S-T} ( \frac{B(t,T)}{B(t,S)} - 1) = -\frac{\partial}{\partial T} \ln B(t,T)$?

Published on 01 Apr 2026 - 20:06

score 238 · Answer 3 · 2016-01-14 10:00:28

238

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Iterated logarithm law for difference (supremum(W) - infimum(W) ) is it 2srt(2/pi) sqrt(t loglog(t))?

Published on 14 Jan 2016 - 10:00

score 136 · Answer 4 · 2016-01-15 02:23:49

136

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An issue of dependent and independent random variables involving geometric Brownian motion.

Published on 15 Jan 2016 - 2:23

score 397 · Answer 5 · 2026-04-11 01:31:05

397

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Brownian motion, harmonic functions and the Dirichlet problem

Published on 11 Apr 2026 - 1:31

score 256 · Answer 6 · 2026-04-09 16:07:43

256

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Wiener's construction of the Wiener Measure

Published on 09 Apr 2026 - 16:07

score 314 · Answer 7 · 2026-04-11 05:48:19

314

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Computing expectation of brownian motion

Published on 11 Apr 2026 - 5:48

score 60 · Answer 8 · 2026-04-07 04:46:33

60

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Compute $ \mathbb{E} [W(t_1)W(t_1 + t_2)W(t_1 + t_2 + t_3)] $ when $W$ is a Brownian motion

Published on 07 Apr 2026 - 4:46

score 50 · Answer 9 · 2016-01-25 09:28:16

50

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Why is $E(X_t|B_t)=\frac{E(X_tB_t)}{E(B_t^2)}B_t$?

Published on 25 Jan 2016 - 9:28

score 57 · Answer 10 · 2026-04-10 05:43:03

57

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how to show that definition for stochastic process in continuous time applies to stock prices

Published on 10 Apr 2026 - 5:43

score 158 · Answer 11 · 2016-01-30 00:32:55

158

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Distance between Brownian Motion and scaled Gaussian random walk

Published on 30 Jan 2016 - 0:32

score 91 · Answer 12 · 2016-01-30 12:06:21

91

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Is $\phi B(\omega,\;\cdot\;)$ Lebesgue integrable over $[0,\infty)$ for a real-valued Brownian motion $B$ and $\phi\in C_c^\infty(\mathbb R)$?

Published on 30 Jan 2016 - 12:06

score 78 · Answer 13 · 2016-01-30 13:55:26

78

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Expectation of a generalized real-valued Brownian motion

Published on 30 Jan 2016 - 13:55

score 106 · Answer 14 · 2026-04-11 15:19:22

106

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Why do people all the time exploiting almost sure properties of a stochastic process as if they were sure properties?

Published on 11 Apr 2026 - 15:19

score 52 · Answer 15 · 2026-04-11 12:34:10

52

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Distribution of "range" of a process

Published on 11 Apr 2026 - 12:34

List Question

Simulation of brownian motion and fractional brownian motion

Is $\lim_{S\rightarrow T} \frac{1}{S-T} ( \frac{B(t,T)}{B(t,S)} - 1) = -\frac{\partial}{\partial T} \ln B(t,T)$?

Iterated logarithm law for difference (supremum(W) - infimum(W) ) is it 2srt(2/pi) sqrt(t loglog(t))?

An issue of dependent and independent random variables involving geometric Brownian motion.

Brownian motion, harmonic functions and the Dirichlet problem

Wiener's construction of the Wiener Measure

Computing expectation of brownian motion

Compute $ \mathbb{E} [W(t_1)W(t_1 + t_2)W(t_1 + t_2 + t_3)] $ when $W$ is a Brownian motion

Why is $E(X_t|B_t)=\frac{E(X_tB_t)}{E(B_t^2)}B_t$?

how to show that definition for stochastic process in continuous time applies to stock prices

Distance between Brownian Motion and scaled Gaussian random walk

Is $\phi B(\omega,\;\cdot\;)$ Lebesgue integrable over $[0,\infty)$ for a real-valued Brownian motion $B$ and $\phi\in C_c^\infty(\mathbb R)$?

Expectation of a generalized real-valued Brownian motion

Why do people all the time exploiting almost sure properties of a stochastic process as if they were sure properties?

Distribution of "range" of a process

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