Question

Covariance functional of a generalized real-valued Brownian motion

score 42 · Answer 1 · 2016-01-31 12:21:17

42

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Covariance functional of a generalized real-valued Brownian motion

Published on 31 Jan 2016 - 12:21

score 133 · Answer 2 · 2016-01-31 15:16:57

133

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How can we prove that the generalized stochastic process induced by a real-valued Brownian motion is Gaussian?

Published on 31 Jan 2016 - 15:16

score 266 · Answer 3 · 2026-04-07 17:16:17

266

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How can we prove that the derivative of a generalized Hilbert space valued Brownian motion is a Gaussian white noise?

Published on 07 Apr 2026 - 17:16

score 3.2k · Answer 4 · 2026-04-10 10:00:57

3.2k

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derive integration by parts for a stochastic integral

Published on 10 Apr 2026 - 10:00

score 8.2k · Answer 5 · 2016-02-02 04:13:11

8.2k

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Use Ito's Lemma to compute $d(\log S(t))$ and use this to find the closed form solution of S(t)

Published on 02 Feb 2016 - 4:13

score 164 · Answer 6 · 2016-02-02 05:32:42

164

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If $S(t)$ is the stock price that satisfies BSM model in SDE form how can I derive an SDE for $S^n (t)$ for some positive integer n

Published on 02 Feb 2016 - 5:32

score 77 · Answer 7 · 2026-03-30 20:45:10

77

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Let $X(t) = e^{r(T-t)}/S(t)$. Find the SDE of $X(t)$ provided that $S(t)$ satisfies the BSM model.

Published on 30 Mar 2026 - 20:45

score 59 · Answer 8 · 2026-03-29 10:48:55

59

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How can we evaluate the material derivative of the velocity of an particle by means of an Itō formula?

Published on 29 Mar 2026 - 10:48

score 1.9k · Answer 9 · 2026-04-11 02:23:19

1.9k

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Probability Brownian motion is positive at two points

Published on 11 Apr 2026 - 2:23

score 96 · Answer 10 · 2016-02-03 00:15:25

96

Views

Compute integral: $\int_0^{+\infty}\int_{-\infty}^{-x}\frac{1}{2\pi}e^{-\frac{1}{2} (x^2+y^2)}dx dy $

Published on 03 Feb 2016 - 0:15

score 11.6k · Answer 11 · 2016-02-03 21:05:49

11.6k

Views

What is "white noise" and how is it related to the Brownian motion?

Published on 03 Feb 2016 - 21:05

score 1.1k · Answer 12 · 2026-03-26 14:33:56

1.1k

Views

Range of a standard brownian motion, using reflection principle

Published on 26 Mar 2026 - 14:33

score 273 · Answer 13 · 2016-02-07 10:47:50

273

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Generalised arcsine law of brownian motion

Published on 07 Feb 2016 - 10:47

score 137 · Answer 14 · 2016-02-08 13:06:55

137

Views

Correlated Brownian motions

Published on 08 Feb 2016 - 13:06

score 2.3k · Answer 15 · 2026-04-11 10:21:15

2.3k

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How to calculate the PSD of a stochastic process

Published on 11 Apr 2026 - 10:21

List Question

Covariance functional of a generalized real-valued Brownian motion

How can we prove that the generalized stochastic process induced by a real-valued Brownian motion is Gaussian?

How can we prove that the derivative of a generalized Hilbert space valued Brownian motion is a Gaussian white noise?

derive integration by parts for a stochastic integral

Use Ito's Lemma to compute $d(\log S(t))$ and use this to find the closed form solution of S(t)

If $S(t)$ is the stock price that satisfies BSM model in SDE form how can I derive an SDE for $S^n (t)$ for some positive integer n

Let $X(t) = e^{r(T-t)}/S(t)$. Find the SDE of $X(t)$ provided that $S(t)$ satisfies the BSM model.

How can we evaluate the material derivative of the velocity of an particle by means of an Itō formula?

Probability Brownian motion is positive at two points

Compute integral: $\int_0^{+\infty}\int_{-\infty}^{-x}\frac{1}{2\pi}e^{-\frac{1}{2} (x^2+y^2)}dx dy $

What is "white noise" and how is it related to the Brownian motion?

Range of a standard brownian motion, using reflection principle

Generalised arcsine law of brownian motion

Correlated Brownian motions

How to calculate the PSD of a stochastic process

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