List questions from brownian-motion

Published on 28 Mar 2026 - 14:07

106

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Where does this approximation for the expected value of an exponential come from?

Published on 28 Mar 2026 - 5:28

72

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are $T_{b-a}$ and $T_b - T_a$ equal in distribution?

Published on 27 Mar 2026 - 6:56

695

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Expectation involving local time of Brownian motion

Published on 28 Mar 2026 - 14:05

80

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Local times in higher dimensions

Published on 28 Mar 2026 - 13:59

104

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What is the probability that a Brownian motion will cross level $1$ before time $T$?

Published on 13 Feb 2020 - 13:28

81

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What is the joint distribution of $W_t$ and $\int_0^t W_s \,ds$?

Published on 01 Apr 2026 - 22:49

1.2k

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Compute the characteristic function of Wiener Process (Brownian Motion).

Published on 28 Mar 2026 - 15:36

372

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Whether two one-dimensional Brownian motions yield a two-dimensional Brownian motion

Published on 28 Mar 2026 - 15:36

346

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Calculating a quadratic variation of a process

Published on 28 Mar 2026 - 5:28

197

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Existence and uniqueness for SDE 2D linear system

Published on 26 Mar 2026 - 6:03

449

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Integral of Brownian motion in a 2-d box

Published on 02 Apr 2026 - 0:44

147

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Expectation of product of stochastic integral and random variable with end-point dependence

Published on 28 Mar 2026 - 5:22

1.8k

Views

Distribution of first exit time of Brownian motion

Published on 02 Apr 2026 - 0:37

45

Views

For $B_t= (b_t,\beta_t)$, a Brownian motion and $r_t = |B_t|$, $1/r_t$ is well defined?

Published on 28 Mar 2026 - 8:40

List Question

Expectation of Brownian hitting time

Where does this approximation for the expected value of an exponential come from?

are $T_{b-a}$ and $T_b - T_a$ equal in distribution?

Expectation involving local time of Brownian motion

Local times in higher dimensions

What is the probability that a Brownian motion will cross level $1$ before time $T$?

What is the joint distribution of $W_t$ and $\int_0^t W_s \,ds$?

Compute the characteristic function of Wiener Process (Brownian Motion).

Whether two one-dimensional Brownian motions yield a two-dimensional Brownian motion

Calculating a quadratic variation of a process

Existence and uniqueness for SDE 2D linear system

Integral of Brownian motion in a 2-d box

Expectation of product of stochastic integral and random variable with end-point dependence

Distribution of first exit time of Brownian motion

For $B_t= (b_t,\beta_t)$, a Brownian motion and $r_t = |B_t|$, $1/r_t$ is well defined?

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