List questions from stochastic-analysis

Published on 25 Mar 2026 - 6:29

32

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Approximating left continuous process $(L_t)_{0 \leq t \leq T}$ uniformly on $[0,T]$ by step functions on the Dyadics

Published on 02 Jan 2019 - 12:01

104

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How to improve the convergence of a stochastic differential equation?

Published on 25 Mar 2026 - 6:05

116

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If $X$ is an Ito process, is $\mathbb E(\int X \mathrm d X)$ convex?

Published on 12 Jan 2019 - 14:47

285

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What is the quadratic variation of $e^{-t\lambda}B_{\frac{e^{2\lambda t}-1}{2\lambda}}$?

Published on 23 Feb 2026 - 1:19

395

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adapted, increasing, (locally) integrable variation process is a (local) submartingale

Published on 16 Jan 2019 - 7:34

63

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Standard Brownian motion almost surely not $0$.

Published on 23 Feb 2026 - 1:03

40

Views

Finding a strong solution to $X_t := (A_tX_t+a_t)dt+(S_tX_t+\sigma_t))dB_t$

Published on 23 Feb 2026 - 1:06

149

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Fokker-Planck equation for a Markov semigroup with densities

Published on 23 Feb 2026 - 1:04

86

Views

Progressively Measurable on a Topological Space

Published on 20 Jan 2019 - 1:33

42

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Where is an error in my deduction? (question about martingales)

Published on 25 Mar 2026 - 16:01

3k

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Supremum of Brownian motion

Published on 21 Jan 2019 - 13:54

81

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Example of ANY stochastic process (SDE), with reversible distribution

Published on 25 Mar 2026 - 17:44

100

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Show that if $(κ_t)_{t≥0}$ is the transition semigroup of a strong solution to an SDE, $t↦(κ_tf)(x)$ is continuous for all $x$ and suitable $f:ℝ→ℝ$

Published on 25 Mar 2026 - 6:30

61

Views

Stochastic Processes: Find the function f(n) , n = 0,1,2,... that satisfies f(0) = 0, f(n) = 1/3f(n-1) + 1/3f(n+1) +1/3f(n+2), n >= 1

Published on 23 Jan 2019 - 20:53

List Question

Convergence of the distribution of the Langevin diffusion to its invariant measure

Approximating left continuous process $(L_t)_{0 \leq t \leq T}$ uniformly on $[0,T]$ by step functions on the Dyadics

How to improve the convergence of a stochastic differential equation?

If $X$ is an Ito process, is $\mathbb E(\int X \mathrm d X)$ convex?

What is the quadratic variation of $e^{-t\lambda}B_{\frac{e^{2\lambda t}-1}{2\lambda}}$?

adapted, increasing, (locally) integrable variation process is a (local) submartingale

Standard Brownian motion almost surely not $0$.

Finding a strong solution to $X_t := (A_tX_t+a_t)dt+(S_tX_t+\sigma_t))dB_t$

Fokker-Planck equation for a Markov semigroup with densities

Progressively Measurable on a Topological Space

Where is an error in my deduction? (question about martingales)

Supremum of Brownian motion

Example of ANY stochastic process (SDE), with reversible distribution

Show that if $(κ_t)_{t≥0}$ is the transition semigroup of a strong solution to an SDE, $t↦(κ_tf)(x)$ is continuous for all $x$ and suitable $f:ℝ→ℝ$

Stochastic Processes: Find the function f(n) , n = 0,1,2,... that satisfies f(0) = 0, f(n) = 1/3f(n-1) + 1/3f(n+1) +1/3f(n+2), n >= 1

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