List questions from brownian-motion

337

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SDE for $Y_t = \frac{1}{Z_t}$ where $Z_t =\exp \left(\int_0^t X_u \, dW_u-\frac{1}{2}\int_0^t X^2_u \, du \right)$

Published on 16 Apr 2026 - 1:00

126

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Riesz measure of a subharmonic function and that of its regularization

Published on 12 Apr 2026 - 3:28

145

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How to calculate $\mathbb{E}\left(\varPhi^{2}\left(\frac{W_{s}}{\sqrt{1-s}}\right)\right)$?

Published on 13 Apr 2026 - 22:02

398

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integral w.r.t. Brownian motion is gaussian process?

Published on 13 Apr 2026 - 11:45

129

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Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Published on 17 Apr 2026 - 12:00

37

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Show $\sin(2W_t)\mathbb{1}_{[0,t]}(t)$ is an integrand

Published on 16 Apr 2026 - 8:02

215

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Interpretation of a Generator of a Feller Process

Published on 08 Apr 2026 - 23:29

147

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How to normalize a sum of noise signals (fbm)?

Published on 25 Mar 2026 - 23:38

349

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Why are rough stochastic volatility models not Markovian?

Published on 16 Apr 2026 - 13:30

54

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Computing expectation of $Y_n=\sum_{i=1}^{2^n}|W_{i2^{-n}}-W_{(i-1)2^{-n}}|\text{ where }n\in\mathbb{N}$.

Published on 17 Apr 2026 - 5:18

64

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Lower bound of cumulative probability of Brownian motion

Published on 15 Apr 2026 - 0:13

110

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Stochastic integral with respect to fractional Brownian motion.

Published on 10 Apr 2026 - 10:20

358

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$\text{Var}((W_t-W_s)^2)=2(t-s)^2$.

Published on 14 Apr 2026 - 16:23

113

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integrability of random variables w.r.t. Brownian motion

Published on 14 Apr 2026 - 19:01

357

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Implications of Girsanov Theorem

Published on 10 Apr 2026 - 16:09

List Question

SDE for $Y_t = \frac{1}{Z_t}$ where $Z_t =\exp \left(\int_0^t X_u \, dW_u-\frac{1}{2}\int_0^t X^2_u \, du \right)$

Riesz measure of a subharmonic function and that of its regularization

How to calculate $\mathbb{E}\left(\varPhi^{2}\left(\frac{W_{s}}{\sqrt{1-s}}\right)\right)$?

integral w.r.t. Brownian motion is gaussian process?

Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Show $\sin(2W_t)\mathbb{1}_{[0,t]}(t)$ is an integrand

Interpretation of a Generator of a Feller Process

How to normalize a sum of noise signals (fbm)?

Why are rough stochastic volatility models not Markovian?

Computing expectation of $Y_n=\sum_{i=1}^{2^n}|W_{i2^{-n}}-W_{(i-1)2^{-n}}|\text{ where }n\in\mathbb{N}$.

Lower bound of cumulative probability of Brownian motion

Stochastic integral with respect to fractional Brownian motion.

$\text{Var}((W_t-W_s)^2)=2(t-s)^2$.

integrability of random variables w.r.t. Brownian motion

Implications of Girsanov Theorem

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