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If a process is $\mathcal{F}_t$-progressive then it is $\mathcal{F}_t$-adapted

score 58 · Answer 1 · 2018-04-22 15:29:30

58

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If a process is $\mathcal{F}_t$-progressive then it is $\mathcal{F}_t$-adapted

Published on 22 Apr 2018 - 15:29

score 148 · Answer 2 · 2018-04-23 09:38:12

148

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Quick question regarding $E^Q(Y) = E^P(YZ_t)$

Published on 23 Apr 2018 - 9:38

score 293 · Answer 3 · 2026-03-25 04:38:04

293

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Prove $\mathbb{E}[e^{i \lambda W_t}-1] = -\frac{\lambda^2}{2} \mathbb{E}\left[ \int_0^te^{i\lambda W_s}ds\right]$, where $W_t$ is Brownian motion?

Published on 25 Mar 2026 - 4:38

score 73 · Answer 4 · 2026-03-25 07:45:47

73

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$M(t)=W(t)^{4} -$ $6\int_0^t W(s)^{2} \,ds$ is a martingale where $W(t)$ represents the standard Brownian Motion

Published on 25 Mar 2026 - 7:45

score 156 · Answer 5 · 2026-03-25 00:04:25

156

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Show that $P^0( a<W_\theta \leq b \vert W_t=y)\leq P^0( a<W_\theta \leq b \vert W_t=\frac{a+b}{2})$

Published on 25 Mar 2026 - 0:04

score 124 · Answer 6 · 2018-04-24 18:12:40

124

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Second derivative of $f(x)=\max(0,x-c)$

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score 55 · Answer 7 · 2026-03-25 04:55:34

55

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228

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Representation of Ito integral

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score 27 · Answer 9 · 2018-04-26 14:56:06

27

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Published on 26 Apr 2018 - 14:56

score 196 · Answer 10 · 2018-04-27 15:43:39

196

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renewal process with underlying distribution

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score 90 · Answer 11 · 2026-03-25 17:47:09

90

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Published on 25 Mar 2026 - 17:47

score 70 · Answer 12 · 2018-04-28 12:14:49

70

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$(X,Y)$ and $Z$ Gaussian with $Z \bot X$, $Z \bot Y$ implies $(X+Z,Y+Z)$ Gaussian

Published on 28 Apr 2018 - 12:14

score 889 · Answer 13 · 2026-03-25 09:37:16

889

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score 2.8k · Answer 14 · 2026-03-24 22:14:09

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score 1.2k · Answer 15 · 2026-03-25 04:36:35

1.2k

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List Question

If a process is $\mathcal{F}_t$-progressive then it is $\mathcal{F}_t$-adapted

Quick question regarding $E^Q(Y) = E^P(YZ_t)$

Prove $\mathbb{E}[e^{i \lambda W_t}-1] = -\frac{\lambda^2}{2} \mathbb{E}\left[ \int_0^te^{i\lambda W_s}ds\right]$, where $W_t$ is Brownian motion?

$M(t)=W(t)^{4} -$ $6\int_0^t W(s)^{2} \,ds$ is a martingale where $W(t)$ represents the standard Brownian Motion

Show that $P^0( a<W_\theta \leq b \vert W_t=y)\leq P^0( a<W_\theta \leq b \vert W_t=\frac{a+b}{2})$

Second derivative of $f(x)=\max(0,x-c)$

Differential of discount process

Representation of Ito integral

Is $<r_tdt,r_tdt>$ when $r_t$ stochastic?

renewal process with underlying distribution

Are local martingales semimartingales in an enlarged filtration (under particular assumption)?

$(X,Y)$ and $Z$ Gaussian with $Z \bot X$, $Z \bot Y$ implies $(X+Z,Y+Z)$ Gaussian

Geometric brownian motion with more than one brownian motion term

Rewriting sum of correlated Brownian Motions as a single brownian motion

Covariance between Wiener process and stochastic integral

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