List questions from stochastic-analysis

Published on 25 Mar 2026 - 3:24

213

Views

Stochastic integral involving Wiener process

Published on 25 Mar 2026 - 22:09

156

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When is the local martingale in the Itō formula a (strict) martingale?

Published on 25 Mar 2026 - 5:01

315

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Quadratic variation of $X_t=B_t-tB_1$ for $t\in[0,1]$?

Published on 23 Feb 2026 - 1:23

34

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A proof on quadratic variation of a left-continuous process

Published on 25 Nov 2018 - 15:19

138

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A problem on equivalent definitions of Markov property

Published on 26 Mar 2026 - 4:32

139

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Conditional expectation of exponent to the power of BM, representation theorem

Published on 25 Mar 2026 - 19:04

839

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Convergence of discrete-time Markov chain to Feller processes

Published on 26 Mar 2026 - 4:34

40

Views

Why $P^\mu[X_{S+t} \in \Gamma \mid \mathcal{F}_{S+}]=P^\mu[X_{S+t} \in \Gamma \mid X_{S}]=0 \text{ ,} P^\mu\text{-a.s. on } \{S=\infty\}$

Published on 26 Mar 2026 - 4:35

208

Views

Left continuous adapted process X is optional

Published on 01 Dec 2018 - 15:20

439

Views

Covariance of two Ito / Diffusion processes

Published on 25 Mar 2026 - 22:09

40

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Interpolation of martingale

Published on 25 Mar 2026 - 20:35

473

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Random time change for a Poisson process and convergence with respect to the Skorohod topology

Published on 22 Mar 2026 - 5:18

66

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A construction of a Stratonovich type integral for fractional Brownian motion

Published on 23 Mar 2026 - 9:25

64

Views

If $Y$ is a Markov chain and $h>0$, why is $(Y_{\lfloor t/h\rfloor})_{t\ge0}$ not a Markov process?

Published on 26 Mar 2026 - 11:01

List Question

Show that the solution of an autonomous SDE is a time-homogeneous Markov process

Stochastic integral involving Wiener process

When is the local martingale in the Itō formula a (strict) martingale?

Quadratic variation of $X_t=B_t-tB_1$ for $t\in[0,1]$?

A proof on quadratic variation of a left-continuous process

A problem on equivalent definitions of Markov property

Conditional expectation of exponent to the power of BM, representation theorem

Convergence of discrete-time Markov chain to Feller processes

Why $P^\mu[X_{S+t} \in \Gamma \mid \mathcal{F}_{S+}]=P^\mu[X_{S+t} \in \Gamma \mid X_{S}]=0 \text{ ,} P^\mu\text{-a.s. on } \{S=\infty\}$

Left continuous adapted process X is optional

Covariance of two Ito / Diffusion processes

Interpolation of martingale

Random time change for a Poisson process and convergence with respect to the Skorohod topology

A construction of a Stratonovich type integral for fractional Brownian motion

If $Y$ is a Markov chain and $h>0$, why is $(Y_{\lfloor t/h\rfloor})_{t\ge0}$ not a Markov process?

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