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When are Local Martingales/Martingales(stochastic integrals wrt BM) with the same quadratic variation same?

score 105 · Answer 1 · 2026-04-13 22:42:02

105

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When are Local Martingales/Martingales(stochastic integrals wrt BM) with the same quadratic variation same?

Published on 13 Apr 2026 - 22:42

score 478 · Answer 2 · 2026-04-09 23:45:59

478

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Changing the measure of a stochastic process

Published on 09 Apr 2026 - 23:45

score 78 · Answer 3 · 2026-04-10 22:51:32

78

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Expectation of Brownian Motions

Published on 10 Apr 2026 - 22:51

score 130 · Answer 4 · 2026-04-09 12:01:03

130

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Brownian Motion - Simulating and understanding

Published on 09 Apr 2026 - 12:01

score 258 · Answer 5 · 2026-04-15 23:56:28

258

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How do I evalutate $\int_{0}^{\infty}\frac{b}{\sqrt{2\pi t^3}} e^{-\sigma t -\frac{b^2}{2t}}dt$?

Published on 15 Apr 2026 - 23:56

score 1.3k · Answer 6 · 2026-04-11 17:53:47

1.3k

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Write expectation of brownian motion conditional on filtration as an integral?

Published on 11 Apr 2026 - 17:53

score 172 · Answer 7 · 2026-04-13 04:12:13

172

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Is $X(t)=B_1(t)\,B_2(t)$ a martingale?

Published on 13 Apr 2026 - 4:12

score 559 · Answer 8 · 2026-04-12 18:06:57

559

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What proves that a random process with zero diffusion is not a martingale?

Published on 12 Apr 2026 - 18:06

score 157 · Answer 9 · 2026-04-13 15:30:25

157

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How the Brownian motion escapes the minimum? A question based on the Lecture notes from Zeitouni on RWRE

Published on 13 Apr 2026 - 15:30

score 1.3k · Answer 10 · 2026-04-14 22:36:08

1.3k

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If we can't Stieltjes integrate Brownian motion pathwise, then what do the values of the Ito integral represent?

Published on 14 Apr 2026 - 22:36

score 73 · Answer 11 · 2026-04-13 22:37:33

73

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Computing $d\langle Y\rangle_t$

Published on 13 Apr 2026 - 22:37

score 94 · Answer 12 · 2026-04-16 03:35:35

94

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$\Bbb{E}(\int_{0}^t \vert W(s)\frac{ds}{s}\vert)<\infty$ Brownian Motion

Published on 16 Apr 2026 - 3:35

score 2.6k · Answer 13 · 2026-04-12 22:56:44

2.6k

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Show that process is a Brownian motion

Published on 12 Apr 2026 - 22:56

score 811 · Answer 14 · 2026-04-14 11:54:49

811

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Independent and correlated Brownian Motions

Published on 14 Apr 2026 - 11:54

score 76 · Answer 15 · 2026-04-16 20:04:37

76

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Question on variance and expectation of Brownian Motion related things

Published on 16 Apr 2026 - 20:04

List Question

When are Local Martingales/Martingales(stochastic integrals wrt BM) with the same quadratic variation same?

Changing the measure of a stochastic process

Expectation of Brownian Motions

Brownian Motion - Simulating and understanding

How do I evalutate $\int_{0}^{\infty}\frac{b}{\sqrt{2\pi t^3}} e^{-\sigma t -\frac{b^2}{2t}}dt$?

Write expectation of brownian motion conditional on filtration as an integral?

Is $X(t)=B_1(t)\,B_2(t)$ a martingale?

What proves that a random process with zero diffusion is not a martingale?

How the Brownian motion escapes the minimum? A question based on the Lecture notes from Zeitouni on RWRE

If we can't Stieltjes integrate Brownian motion pathwise, then what do the values of the Ito integral represent?

Computing $d\langle Y\rangle_t$

$\Bbb{E}(\int_{0}^t \vert W(s)\frac{ds}{s}\vert)<\infty$ Brownian Motion

Show that process is a Brownian motion

Independent and correlated Brownian Motions

Question on variance and expectation of Brownian Motion related things

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