List questions from brownian-motion

Published on 03 Apr 2026 - 4:17

315

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Brownian motion square

Published on 21 Jun 2020 - 10:30

104

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Variation and Quadratic variation of $\int B(s) ds$

Published on 03 Apr 2026 - 4:20

79

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Question about the strong Markov property of Brownian motions

Published on 29 Mar 2026 - 19:17

60

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How to show $P(\inf_{t\geq0}\int_0^t e^{-s}\mathrm d B_s\geq -1)>0$?

Published on 28 Mar 2026 - 23:59

81

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Show $ \frac{1}{\sqrt{1+t}}e^{\frac{B_t^2(1+t)}{2}}$ is a martingale

Published on 01 Apr 2026 - 9:38

433

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An example to be a local martingale but not a martingale

Published on 23 Feb 2026 - 8:24

107

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Asian option payout

Published on 29 Mar 2026 - 5:10

64

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Laplace transform of an arbitrary function multiplied by a power law

Published on 02 Apr 2026 - 7:08

125

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Expectation of a stopping time with respect to some Brownian Motion

Published on 03 Apr 2026 - 5:48

81

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Brownian motion mathematical model construction

Published on 25 Mar 2026 - 21:30

72

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If $f:\mathbb R\to\infty$ is a continuous function, show that $\dfrac{1}{n}\sum_{i=1}^n f(S_i/\sqrt{i})\stackrel{d}{\to} \int_0^1 f(W(s))ds$

Published on 27 Jun 2020 - 6:27

343

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Bessel processes and Brownian motion

Published on 03 Apr 2026 - 5:44

67

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showing that ito's integral on brownian motion normalized by bessel process is a martingale

Published on 03 Apr 2026 - 5:47

196

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Geometric Brownian motion: Correlation in the increments when looking at the average value over some period?

Published on 26 Mar 2026 - 17:46

List Question

Expected value and variance of a stopping time

Brownian motion square

Variation and Quadratic variation of $\int B(s) ds$

Question about the strong Markov property of Brownian motions

How to show $P(\inf_{t\geq0}\int_0^t e^{-s}\mathrm d B_s\geq -1)>0$?

Show $ \frac{1}{\sqrt{1+t}}e^{\frac{B_t^2(1+t)}{2}}$ is a martingale

An example to be a local martingale but not a martingale

Asian option payout

Laplace transform of an arbitrary function multiplied by a power law

Expectation of a stopping time with respect to some Brownian Motion

Brownian motion mathematical model construction

If $f:\mathbb R\to\infty$ is a continuous function, show that $\dfrac{1}{n}\sum_{i=1}^n f(S_i/\sqrt{i})\stackrel{d}{\to} \int_0^1 f(W(s))ds$

Bessel processes and Brownian motion

showing that ito's integral on brownian motion normalized by bessel process is a martingale

Geometric Brownian motion: Correlation in the increments when looking at the average value over some period?

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