List questions from stochastic-analysis

Published on 26 Mar 2026 - 18:50

86

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Ito's Formula with Random Measure

Published on 26 Mar 2026 - 18:49

183

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Cadlag adapted processes with bounded jumps are locally bounded.

Published on 11 Jun 2020 - 15:26

135

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If $H$ is predictable, show $ M_t = \sum_{s=1}^tH_s(X_s-E(X_s)) $ is a martingale

Published on 12 Jun 2020 - 13:56

57

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Extend a bound for a Markov semigroup using Jensen's inequality

Published on 26 Mar 2026 - 1:26

64

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Implications of $\inf_{\left\|x\right\|,\left\|y\right\|\le c}\sup_{\gamma\text{ coupling of }δ_xκ,δ_yκ}\gamma\left(\{\rho<δ\}\right)>0$

Published on 23 Feb 2026 - 3:00

166

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Quotient of continuous local martingale with quadratic variation

Published on 23 Feb 2026 - 8:25

84

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Non-integer moment of some integral which is similar to the incomplete Gamma function integral

Published on 28 Mar 2026 - 23:58

35

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A question related to random times and uniformly integrable martingales

Published on 16 Jun 2020 - 2:39

146

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Non-integer moment of Brownian motion integral

Published on 16 Jun 2020 - 23:32

103

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How to solve SDEs using Ito's Lemma

Published on 26 Mar 2026 - 20:38

109

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Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

Published on 23 Feb 2026 - 8:27

55

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Stochastic partial integration: Do the stochastic integrators have to be independent?

Published on 26 Mar 2026 - 20:44

159

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Auxiliary result related to the exponential martingale inequality

Published on 28 Mar 2026 - 23:58

105

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Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

Published on 29 Mar 2026 - 0:00

List Question

Expectation of `fractional' Geometric brownian motions

Ito's Formula with Random Measure

Cadlag adapted processes with bounded jumps are locally bounded.

If $H$ is predictable, show $ M_t = \sum_{s=1}^tH_s(X_s-E(X_s)) $ is a martingale

Extend a bound for a Markov semigroup using Jensen's inequality

Implications of $\inf_{\left\|x\right\|,\left\|y\right\|\le c}\sup_{\gamma\text{ coupling of }δ_xκ,δ_yκ}\gamma\left(\{\rho<δ\}\right)>0$

Quotient of continuous local martingale with quadratic variation

Non-integer moment of some integral which is similar to the incomplete Gamma function integral

A question related to random times and uniformly integrable martingales

Non-integer moment of Brownian motion integral

How to solve SDEs using Ito's Lemma

Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

Stochastic partial integration: Do the stochastic integrators have to be independent?

Auxiliary result related to the exponential martingale inequality

Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

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