List questions from brownian-motion

Published on 11 Apr 2026 - 2:24

78

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How to approach a second order ODE with Dirac Delta and?

Published on 09 Apr 2026 - 8:18

173

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Steady state density for BM on a compact manifold

Published on 14 Apr 2026 - 0:01

34

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Why is the set $\{ W_\cdot(\omega)$ is locally $\alpha$-Hölder at some $s\in[0,1]\}$ contained in ths messy intersection/union of measurable sets?

Published on 15 Apr 2026 - 10:57

72

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Stopped distribution of a geometric brownian motion

Published on 09 Apr 2026 - 19:49

86

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Discrepancy: steady state of scaled Brownian motion on sphere is not a harmonic function

Published on 25 Mar 2026 - 13:55

57

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$\mathbb{P}(\tau_a\leq \tau_{-a}\leq t)=\mathbb{P}(\tau_{3a}\leq t)$ for a Brownian motion?

Published on 14 Apr 2026 - 9:51

101

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Verify the following integral is an Ito stochastic integral and a martingale

Published on 14 Apr 2026 - 13:45

48

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Formal (mathematical) proof of $\mathbb{P}(W_{t}>b)=\int_{0}^{t} \mathbb{P}\left( W_{t} > b \mid \tau_{b} =s \right) dF(s)$

Published on 16 Apr 2026 - 8:47

39

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Integrability of time dependent hitting times of Brownian Motion

Published on 11 Apr 2026 - 10:42

51

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Stopped Brownian motion is indepedent of Sigma Algebra of Past

Published on 11 Apr 2026 - 11:13

466

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What is a continuous stochastic process?

Published on 09 Apr 2026 - 12:41

327

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Relation between heat equation and brownian motion.

Published on 09 Apr 2026 - 2:15

35

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Distribution of time to return for symmetric random walks

Published on 10 Apr 2026 - 2:21

147

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Itô-Integral with infinite upper bound

Published on 13 Apr 2026 - 13:34

List Question

Derivation of the HJB Equation in Pham (2009)

How to approach a second order ODE with Dirac Delta and?

Steady state density for BM on a compact manifold

Why is the set $\{ W_\cdot(\omega)$ is locally $\alpha$-Hölder at some $s\in[0,1]\}$ contained in ths messy intersection/union of measurable sets?

Stopped distribution of a geometric brownian motion

Discrepancy: steady state of scaled Brownian motion on sphere is not a harmonic function

$\mathbb{P}(\tau_a\leq \tau_{-a}\leq t)=\mathbb{P}(\tau_{3a}\leq t)$ for a Brownian motion?

Verify the following integral is an Ito stochastic integral and a martingale

Formal (mathematical) proof of $\mathbb{P}(W_{t}>b)=\int_{0}^{t} \mathbb{P}\left( W_{t} > b \mid \tau_{b} =s \right) dF(s)$

Integrability of time dependent hitting times of Brownian Motion

Stopped Brownian motion is indepedent of Sigma Algebra of Past

What is a continuous stochastic process?

Relation between heat equation and brownian motion.

Distribution of time to return for symmetric random walks

Itô-Integral with infinite upper bound

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