List questions from brownian-motion

Published on 09 Apr 2026 - 1:52

42

Views

I need to find $P (W_{1} + W_{2} \mid W_{3} = 3)$

Published on 23 Apr 2026 - 5:00

815

Views

I need to prove that the process $X_{t} = \exp(\lambda W_{t} - \frac{1}{2}\lambda^{2}t)$ is a martingale

Published on 17 Apr 2026 - 3:15

45

Views

Levy's characterisation of Brownian motion

Published on 12 Apr 2026 - 10:56

172

Views

On sigma-algebras generated by differences of Brownian motion

Published on 14 Apr 2026 - 18:04

24

Views

I need. to find $E\exp(luX_{t})$, where $ u \in \mathbb R$

Published on 13 Apr 2026 - 12:53

24

Views

I need to find $Emax_{t \in [T, 2T]} |W_{t}|$

Published on 17 Apr 2026 - 11:28

220

Views

Why do we need Ito's integrals?

Published on 13 Apr 2026 - 3:38

826

Views

Is $W_{t}^{2}$ a Markov process?

Published on 12 Apr 2026 - 10:52

60

Views

"Extension" of continuity of a stochastic process from $I=[0,1]$ to $I=[0,+\infty]$. Why does that happen in the below-shown way?

Published on 12 Apr 2026 - 15:05

942

Views

What's the relationship between quadratic covariation and covariance in two Itô process?

Published on 12 Apr 2026 - 11:52

87

Views

How to prove that $X^\varepsilon $ is tight where $dX_t^\varepsilon =b(X_t^\varepsilon )dt+\varepsilon \sigma (X_t^\varepsilon )dW_t$?

Published on 15 Apr 2026 - 7:15

220

Views

Let $X_t$ be an Ornstein Uhlenbeck process. Is $X_t - \frac{1}{2} \int_o^{t} X_u du$ a Brownian motion?

Published on 15 Apr 2026 - 23:50

422

Views

Proof of time translation invariance of Brownian Motion. Missing assumption?

Published on 09 Apr 2026 - 13:31

401

Views

Brownian Motion - Closed Form Solution

Published on 17 Apr 2026 - 22:30

List Question

Ito product rule

I need to find $P (W_{1} + W_{2} \mid W_{3} = 3)$

I need to prove that the process $X_{t} = \exp(\lambda W_{t} - \frac{1}{2}\lambda^{2}t)$ is a martingale

Levy's characterisation of Brownian motion

On sigma-algebras generated by differences of Brownian motion

I need. to find $E\exp(luX_{t})$, where $ u \in \mathbb R$

I need to find $Emax_{t \in [T, 2T]} |W_{t}|$

Why do we need Ito's integrals?

Is $W_{t}^{2}$ a Markov process?

"Extension" of continuity of a stochastic process from $I=[0,1]$ to $I=[0,+\infty]$. Why does that happen in the below-shown way?

What's the relationship between quadratic covariation and covariance in two Itô process?

How to prove that $X^\varepsilon $ is tight where $dX_t^\varepsilon =b(X_t^\varepsilon )dt+\varepsilon \sigma (X_t^\varepsilon )dW_t$?

Let $X_t$ be an Ornstein Uhlenbeck process. Is $X_t - \frac{1}{2} \int_o^{t} X_u du$ a Brownian motion?

Proof of time translation invariance of Brownian Motion. Missing assumption?

Brownian Motion - Closed Form Solution

Trending Questions

Popular # Hahtags

Popular Questions