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Optimality conditions for optimization of an expected value

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#optimization #lagrange-multiplier #stochastic-analysis #optimal-control #variational-analysis
150
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Lévy’s Characterization of Brownian Motion Proof

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#stochastic-processes #stochastic-calculus #stochastic-analysis
272
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Prove of $\int_0^t B_s^2 dB_2 = 1/3 B_t^3 - \int_0^t B_sds $

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#stochastic-processes #stochastic-integrals #stochastic-analysis
68
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Characterization of the Poisson distribution

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#stochastic-processes #poisson-distribution #stochastic-analysis #poissons-equation
27
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On stochastic derivative: an apparent contradiction(?)

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#derivatives #stochastic-processes #stochastic-calculus #stochastic-analysis
60
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How to take the average of a stochastic differential equation?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
54
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Transformation from a Wiener process to another stochastic process

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis
23
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Is the space of semimartingales closed under convergence in law?

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#stochastic-calculus #stochastic-analysis
60
Views

Proof of convergence of binary gradient-projected stochastic gradient descent

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#optimization #convergence-divergence #stochastic-analysis #binary
177
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Transformation of Ito diffusion such that the diffusion coefficient becomes constant (Change of variables)

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#reference-request #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
80
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Conditional Expectation of $W_t^3$

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#probability #probability-theory #brownian-motion #conditional-expectation #stochastic-analysis
179
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On the conditional expectation of Ito integral

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#stochastic-processes #stochastic-calculus #conditional-expectation #stochastic-integrals #stochastic-analysis
37
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Does a general solution to d$\dot{m}(t, \theta) = [\alpha_t \dot{m}(t, \theta)+\beta_tm(t, \theta)]dt+\sigma_t dW_t$ exist?

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#conditional-expectation #stochastic-analysis #stochastic-differential-equations #kalman-filter
51
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Convergence in Probability of Stochastic Integral

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#probability #stochastic-integrals #stochastic-analysis
35
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Derivative of Expected Value and Variance of integral with stochastic term?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations

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