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Apply Novikov's criterion

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
95
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Is it true that an Ito integral is Gaussian if and only if the integrand is deterministic?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
286
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Stochastic Representation of solution to PDE

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#partial-differential-equations #stochastic-processes #brownian-motion #stochastic-analysis #stochastic-differential-equations
150
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Confusion on the proof of continuous time optional stopping time theorem.

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#probability-theory #stochastic-processes #proof-explanation #stochastic-calculus #stochastic-analysis
26
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Conditions for differentiability of conditional expectation

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#real-analysis #functional-analysis #stochastic-analysis
1.9k
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Show that the first passage time of Brownian motion has infinite expectation.

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-analysis
31
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Stochastic integration of the Kuramoto model

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#stochastic-integrals #stochastic-analysis #parameter-estimation
66
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Can we define $N_t:=\int_0^t \operatorname{sign}(B_s) \mathrm{d}s$?

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#stochastic-processes #lebesgue-integral #stochastic-integrals #stochastic-analysis
307
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Planar Brownian Motion hitting times

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#stochastic-calculus #stochastic-analysis #stopping-times #stochastic-differential-equations
362
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Can a Wiener process be obtained as the limit of a "memoryless collision time" model?

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#reference-request #stochastic-processes #stochastic-analysis #noise #wiener-measure
153
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The $L^{2}-$extension construction of Ito integral in several literature

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
191
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Derivative of a stochastic process

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-differential-equations #stochastic-pde
59
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Evaluate stochastic integration

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#integration #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-analysis
196
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Why is the stochastic exponential positive?

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#probability-theory #soft-question #stochastic-calculus #stochastic-integrals #stochastic-analysis
64
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Well-defined sum on Schauder-basis of Hilbert space

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#convergence-divergence #hilbert-spaces #stochastic-analysis #schauder-basis

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