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Explicit solution of SDE with linear drift and constant diffusion

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#reference-request #stochastic-analysis #stochastic-differential-equations
478
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What is cylindrical Brownian Motion / Wiener Process

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#hilbert-spaces #stochastic-calculus #brownian-motion #stochastic-analysis
35
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Are we able to determine the distribution of a general stochastic integral?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
39
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Stochastic process with predictable cost function

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#probability #probability-theory #stochastic-processes #stochastic-analysis
679
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Predictable process is adapted?

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#stochastic-processes #stochastic-analysis
92
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Distribution of the Itō integral process with respect to Brownian motion

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#probability-theory #stochastic-processes #brownian-motion #stochastic-integrals #stochastic-analysis
69
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Relation between time-changed solutions to SDEs

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#stochastic-processes #brownian-motion #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
178
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How to show that the Wiener measure is singular with respect to a normal law

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#probability-theory #measure-theory #stochastic-analysis #wiener-measure
347
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How can I show that the stochastic integral of a jump process w.r.t. Brownian motion is a local martingale by using this special localizing sequence?

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#brownian-motion #martingales #stochastic-integrals #stochastic-analysis #local-martingales
117
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Proving joint convexity in stochastic linear problems with fixed recourse

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#optimization #convex-analysis #stochastic-analysis
113
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Burkholder's inequality on $[s,t]$

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#stochastic-calculus #stochastic-integrals #stochastic-analysis #quadratic-variation
81
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Weird Ito Transformation

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
304
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Voronoi cell volume inside the ball

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#probability #geometry #stochastic-analysis #geometric-probability #voronoi-diagram
115
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Ito Lemma and identifying martingale parts

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
44
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Simple example for a predictable process that is not in $L(X)$ for a semimartingale $X$

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#stochastic-calculus #stochastic-integrals #stochastic-analysis

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