List questions from stochastic-analysis

Published on 17 Jul 2020 - 5:15

44

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Find the $\mathbb{E}[ W_{t} ^ {3} e^{W_1-\frac{1}{2}}]$

Published on 20 Jul 2020 - 17:48

159

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Is it true that if $P(\int_0^T f^2(s) ds<\infty)=1$ then the exponential defines a density?

Published on 22 Jul 2020 - 18:42

67

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is this a norm on stochastic processes? (to define ito integral)

Published on 29 Mar 2026 - 4:48

65

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Change of measure

Published on 25 Jul 2020 - 15:15

555

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Proof of Ito Isometry in the general case

Published on 29 Mar 2026 - 6:29

406

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The expected value of the Ito integral of functions in $\mathcal{V}$ is zero, $\mathbb{E}[\int_S^T f dB_t] = 0$ for $f\in\mathcal{V}$

Published on 29 Mar 2026 - 4:44

135

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Question about the solution to the SDE $dX_t = 1_{(0,\infty)}(X_t)dB_t, \; X_0 \coprod B$

Published on 27 Mar 2026 - 0:05

101

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$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

Published on 29 Mar 2026 - 4:43

692

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Notation in the stochastic derivatives in the mean square sense

Published on 06 Jul 2016 - 18:18

540

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Difference between stationarity and independence properties for Brownian motion

Published on 07 Jul 2016 - 10:22

188

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The hitting time $T-\tau^{l}$ has the same distribution as $\min\{\tau^{f},T\}$ regarding an Poisson Process.

Published on 27 Mar 2026 - 18:09

50

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Finding Stochastic processes

Published on 09 Jul 2016 - 12:57

237

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Finding a unique strong solution

Published on 26 Mar 2026 - 20:00

110

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How to deduce the expectation of a stochastic equation

Published on 09 Jul 2016 - 14:38

List Question

Probability of infimum less than supremum of probability

Find the $\mathbb{E}[ W_{t} ^ {3} e^{W_1-\frac{1}{2}}]$

Is it true that if $P(\int_0^T f^2(s) ds<\infty)=1$ then the exponential defines a density?

is this a norm on stochastic processes? (to define ito integral)

Change of measure

Proof of Ito Isometry in the general case

The expected value of the Ito integral of functions in $\mathcal{V}$ is zero, $\mathbb{E}[\int_S^T f dB_t] = 0$ for $f\in\mathcal{V}$

Question about the solution to the SDE $dX_t = 1_{(0,\infty)}(X_t)dB_t, \; X_0 \coprod B$

$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

Notation in the stochastic derivatives in the mean square sense

Difference between stationarity and independence properties for Brownian motion

The hitting time $T-\tau^{l}$ has the same distribution as $\min\{\tau^{f},T\}$ regarding an Poisson Process.

Finding Stochastic processes

Finding a unique strong solution

How to deduce the expectation of a stochastic equation

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