List questions from brownian-motion

Published on 20 Mar 2026 - 20:01

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Hitting time of Brownian Motion combined with another Brownian Motion gives "Cauchyprocess"

Published on 25 Jan 2018 - 16:45

253

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Let $\{W_t\}_{t\geq0}$ be a Brownian motion. Define $Y_t=e^{\frac{t}{2}}\sin(W_t)$. Show that $\{Y_t\}_{t\geq0}$ is a martingale

Published on 26 Jan 2018 - 19:36

920

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Use Brownian bridge to find the conditional distribution

Published on 17 Mar 2026 - 9:38

1.5k

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Quadratic variation of $B_t=(1-t)W_{\frac{t}{t-1}}$

Published on 20 Mar 2026 - 15:34

2.9k

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Find the covariance of a brownian motion.

Published on 19 Mar 2026 - 20:15

773

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Brownian Motion Hitting Time of a line with a negative axis intercept

Published on 20 Mar 2026 - 4:03

150

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For what values of $b$ is $X_{t}=e^{bt+ \sigma w_t}$ a martingale?

Published on 01 Feb 2018 - 15:05

463

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Finite dimensional distributions of brownian motion changed at a random point

Published on 04 Feb 2018 - 12:08

2.3k

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Martingale and Stopping Time with Finite Expectation

Published on 22 Mar 2026 - 17:06

4.1k

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Expected Value of $e^{t+W(t)/2}$ where $W(t)$ is the Wiener process.

Published on 12 Mar 2026 - 6:11

85

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State Price Density Integration - Related to Ito's lemma

Published on 17 Mar 2026 - 13:45

985

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Show that a process is Brownian motion

Published on 17 Mar 2026 - 3:19

5k

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Multivariate Brownian motion definition and properties

Published on 17 Mar 2026 - 9:54

346

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Maximum of Brownian Motion with drift

Published on 17 Mar 2026 - 2:38

List Question

$\frac1n \sum_{i=1}^n W_i(T_i)\to 0$ a.s. for $n\to\infty$

Hitting time of Brownian Motion combined with another Brownian Motion gives "Cauchyprocess"

Let $\{W_t\}_{t\geq0}$ be a Brownian motion. Define $Y_t=e^{\frac{t}{2}}\sin(W_t)$. Show that $\{Y_t\}_{t\geq0}$ is a martingale

Use Brownian bridge to find the conditional distribution

Quadratic variation of $B_t=(1-t)W_{\frac{t}{t-1}}$

Find the covariance of a brownian motion.

Brownian Motion Hitting Time of a line with a negative axis intercept

For what values of $b$ is $X_{t}=e^{bt+ \sigma w_t}$ a martingale?

Finite dimensional distributions of brownian motion changed at a random point

Martingale and Stopping Time with Finite Expectation

Expected Value of $e^{t+W(t)/2}$ where $W(t)$ is the Wiener process.

State Price Density Integration - Related to Ito's lemma

Show that a process is Brownian motion

Multivariate Brownian motion definition and properties

Maximum of Brownian Motion with drift

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