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construction of stochastic integral

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#stochastic-analysis
338
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Why the optimal value that minimizes a function does not satisfy condition?

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#optimization #proof-explanation #stochastic-analysis #economics #operations-research
37
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Distance between stochastic vectors

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#vector-spaces #vectors #normed-spaces #stochastic-analysis
356
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Hairer's proof of Norris' Lemma

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#stochastic-analysis #malliavin-calculus
117
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Why the distribution of the first exit time (for an SDE) is the solution of the PDE $\mathcal Au=-1$ on $D$ and $u=0$ on $\partial D$?

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#stochastic-processes #stochastic-analysis
43
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$I_T(H)$ and $\mathbb E[I(H)^3]$ for $H(t)=W(1)I_{[1,2)}(t)+W(2)I_{[3,4)}(t), t\ge 0$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
234
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Resources on numerically solving a stochastic Navier Stokes Equation

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#partial-differential-equations #numerical-methods #stochastic-analysis #stochastic-pde
263
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The closure of the elementary processes are the predictable processes

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#probability #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
106
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martingale problem: $M_t = f(X_t) - \int_0^t A f(X_s) ds$, $t \geq 0$

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#stochastic-processes #martingales #markov-process #stochastic-analysis #semigroup-of-operators
78
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Time series and probability

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#stochastic-processes #stochastic-analysis #time-series
191
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Distance between SDE solutions with different initial values

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#stochastic-processes #stochastic-calculus #martingales #stochastic-analysis #stochastic-differential-equations
80
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Inequality for supremum of running maximum

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#stochastic-calculus #brownian-motion #stochastic-analysis #stochastic-differential-equations
218
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What is the Girsanov density as a functional on the canonical path space $C[0,1]$?

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-analysis
473
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Geometric Brownian motion, Itô formula

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#stochastic-calculus #brownian-motion #martingales #stochastic-integrals #stochastic-analysis
173
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Integration by parts formula - vanishing covariance

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#integration #stochastic-calculus #martingales #stochastic-analysis

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