Question

$E[(\int_{0}^{\infty}f(t)dW_t)^2]$ for $f(t)=(W_2-W_1)1_{[2,3)}(t)+(W_3-W_1)1_{[3,5)}(t)$

score 77 · Answer 1 · 2019-06-11 17:10:26

77

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$E[(\int_{0}^{\infty}f(t)dW_t)^2]$ for $f(t)=(W_2-W_1)1_{[2,3)}(t)+(W_3-W_1)1_{[3,5)}(t)$

Published on 11 Jun 2019 - 17:10

score 137 · Answer 2 · 2019-06-12 15:58:21

137

Views

Brownian motion expected value of $W(1)$.

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score 175 · Answer 3 · 2019-06-13 13:40:19

175

Views

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score 430 · Answer 4 · 2019-06-13 15:52:42

430

Views

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score 160 · Answer 5 · 2019-06-13 16:46:39

160

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score 67 · Answer 6 · 2019-06-15 02:17:46

67

Views

What is the significance of $[t/ \Delta t]$ in Ross' definition of Brownian motion?

Published on 15 Jun 2019 - 2:17

score 48 · Answer 7 · 2019-06-15 11:19:12

48

Views

Is there anything known about $\sup_{s\leq t} \vert B_s \vert - f(s)$, where $B$ is a Brownian motion and $f$ measurable.

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score 134 · Answer 8 · 2026-03-25 22:05:03

134

Views

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score 107 · Answer 9 · 2019-06-16 06:35:11

107

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score 101 · Answer 10 · 2026-03-25 22:04:14

101

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If $T_{U,V}=\inf\{t:B_t \notin (U,V)\}$ does $\int E[B_{T_{U,V}}|U,V]dP=\int E[B_{T_{u,v}}]dP_{U,V}$

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score 74 · Answer 11 · 2019-06-16 17:21:01

74

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Published on 16 Jun 2019 - 17:21

score 877 · Answer 12 · 2019-06-17 04:54:28

877

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score 1.1k · Answer 13 · 2019-06-18 04:31:40

1.1k

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score 277 · Answer 14 · 2019-06-18 23:16:43

277

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score 227 · Answer 15 · 2019-06-19 04:17:31

227

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List Question

$E[(\int_{0}^{\infty}f(t)dW_t)^2]$ for $f(t)=(W_2-W_1)1_{[2,3)}(t)+(W_3-W_1)1_{[3,5)}(t)$

Brownian motion expected value of $W(1)$.

Calculate expected value of $H_t=exp(W_t/(1+t))$

Characterization of Brownian Motion (Problem Karatzas/Shreve)

reflection principle brownian motion

What is the significance of $[t/ \Delta t]$ in Ross' definition of Brownian motion?

Is there anything known about $\sup_{s\leq t} \vert B_s \vert - f(s)$, where $B$ is a Brownian motion and $f$ measurable.

Expectation of the exponent of a constant times exiting time of a Brownian motion (i.e. $\mathbb{E}_x[e^{n\sigma}]$)

Deriving Ito process with a drift from geometric Brownian motion.

If $T_{U,V}=\inf\{t:B_t \notin (U,V)\}$ does $\int E[B_{T_{U,V}}|U,V]dP=\int E[B_{T_{u,v}}]dP_{U,V}$

Expectation of stochastic process continuous in starting point.

Brownian motion and Running Maximum

Conditional expectation of exponential Brownian motion

Running Maximum of Brownian motion is singularly continuous?

Quotient of two assets following a GBM

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