Question

Behaviour of Brownian motion for large times

score 43 · Answer 1 · 2019-08-08 16:00:54

43

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Behaviour of Brownian motion for large times

Published on 08 Aug 2019 - 16:00

score 106 · Answer 2 · 2026-03-26 17:35:12

106

Views

Stochastic integration with non-caglad integrand

Published on 26 Mar 2026 - 17:35

score 646 · Answer 3 · 2019-08-12 06:38:24

646

Views

Fourier Series of Brownian Motion $(B_t)_{t \in [0,1]}$ wrong?

Published on 12 Aug 2019 - 6:38

score 306 · Answer 4 · 2019-08-12 19:50:30

306

Views

Law of the iterated logarithm in higher dimensions

Published on 12 Aug 2019 - 19:50

score 294 · Answer 5 · 2019-08-14 01:59:22

294

Views

Let $W(t)$ be a standard Brownian motion. Define $X(t)=e^{W(t)}$. Let $0<s<t$. Give the expression for $Cov(X(s),X(t))$

Published on 14 Aug 2019 - 1:59

score 135 · Answer 6 · 2026-03-26 01:02:04

135

Views

two sided brownian motion hit time +1 -1

Published on 26 Mar 2026 - 1:02

score 499 · Answer 7 · 2026-03-26 19:18:28

499

Views

Ito formula $f(t,x)=e^{ax+bt}, t\in\mathbb R_+, x\in \mathbb R$

Published on 26 Mar 2026 - 19:18

score 61 · Answer 8 · 2019-08-19 08:51:33

61

Views

Is there a concrete meaning of Brownian motion $W_t$ has variance $\sigma ^2t$?

Published on 19 Aug 2019 - 8:51

score 258 · Answer 9 · 2019-08-21 19:19:24

258

Views

Contradiction Optional stopping theorem : If $\tau=\inf\{t\geq 0\mid B_t=1\}$ why $\mathbb E[B_\tau]=0$?

Published on 21 Aug 2019 - 19:19

score 622 · Answer 10 · 2019-08-24 17:03:40

622

Views

Joint Density function of Brownian motion with drift and it's running maximum

Published on 24 Aug 2019 - 17:03

score 130 · Answer 11 · 2019-08-25 19:11:44

130

Views

Problem to understand the proof of the reflexion principle of Brownian motion in wikipedia

Published on 25 Aug 2019 - 19:11

score 65 · Answer 12 · 2019-08-25 19:19:51

65

Views

Why $\mathbb P(B_{T_a+(t-T_a)}-B_{T_a}<0\mid T_a<t)=\frac{1}{2}$?

Published on 25 Aug 2019 - 19:19

score 156 · Answer 13 · 2019-08-25 20:31:42

156

Views

Prove that $(\tilde W_t)$ is a Brownian motion where $\tilde W_t=2\alpha -W_t$ if $t>\tau_\alpha $

Published on 25 Aug 2019 - 20:31

score 445 · Answer 14 · 2026-03-25 16:14:07

445

Views

Issue concerning the uniqueness of the SDE of Bessel process

Published on 25 Mar 2026 - 16:14

score 467 · Answer 15 · 2026-03-25 16:13:36

467

Views

Solve stochastic differential equation $ dx = 3a(x^{1/3}-x)dt + 3\sqrt{a}x^{2/3}dW $

Published on 25 Mar 2026 - 16:13

List Question

Behaviour of Brownian motion for large times

Stochastic integration with non-caglad integrand

Fourier Series of Brownian Motion $(B_t)_{t \in [0,1]}$ wrong?

Law of the iterated logarithm in higher dimensions

Let $W(t)$ be a standard Brownian motion. Define $X(t)=e^{W(t)}$. Let $0<s<t$. Give the expression for $Cov(X(s),X(t))$

two sided brownian motion hit time +1 -1

Ito formula $f(t,x)=e^{ax+bt}, t\in\mathbb R_+, x\in \mathbb R$

Is there a concrete meaning of Brownian motion $W_t$ has variance $\sigma ^2t$?

Contradiction Optional stopping theorem : If $\tau=\inf\{t\geq 0\mid B_t=1\}$ why $\mathbb E[B_\tau]=0$?

Joint Density function of Brownian motion with drift and it's running maximum

Problem to understand the proof of the reflexion principle of Brownian motion in wikipedia

Why $\mathbb P(B_{T_a+(t-T_a)}-B_{T_a}<0\mid T_a<t)=\frac{1}{2}$?

Prove that $(\tilde W_t)$ is a Brownian motion where $\tilde W_t=2\alpha -W_t$ if $t>\tau_\alpha $

Issue concerning the uniqueness of the SDE of Bessel process

Solve stochastic differential equation $ dx = 3a(x^{1/3}-x)dt + 3\sqrt{a}x^{2/3}dW $

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