List questions from stochastic-calculus

Published on 14 Apr 2020 - 9:33

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Apply Novikov's criterion

Published on 28 Mar 2026 - 13:37

38

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Show that a $[0,\infty)-$random variable $\tau$ is $\mathcal{F}_{t+}-$stopping time if and only if $\{\tau<t\}\in\mathcal{F}_{t}$ for each $t\geq 0$.

Published on 14 Apr 2020 - 23:03

95

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Is it true that an Ito integral is Gaussian if and only if the integrand is deterministic?

Published on 26 Mar 2026 - 12:07

78

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Feller condition and Chebyshev inequality

Published on 17 Apr 2020 - 9:43

239

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Sufficient condition for weak existence of SDE's solutions.

Published on 26 Mar 2026 - 12:06

151

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Confusion on the proof of continuous time optional stopping time theorem.

Published on 29 Mar 2026 - 6:55

202

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Ito formula for stochastic volterra process

Published on 25 Mar 2026 - 1:34

34

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Example of $\inf\{t\geq 0:X_{t}=b\}\neq\inf\{t\geq 0:X_{t}\in\{b\}\}$ for a stochastic process $(X_{t})$.

Published on 18 Apr 2020 - 22:28

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Show that the first passage time of Brownian motion has infinite expectation.

Published on 29 Mar 2026 - 8:35

142

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Show any other solution to a 2-dimensional SDE system is constant in time

Published on 26 Mar 2026 - 12:06

928

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Change of variable in Ito integral

Published on 19 Apr 2020 - 16:08

79

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Ito integral definition of a elementary process

Published on 25 Mar 2026 - 17:37

235

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Using Ito's Formula to Calculate dy

Published on 26 Mar 2026 - 6:33

56

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Is next question right? And why?

Published on 23 Feb 2026 - 6:17

List Question

On convergence of a series of expectations given almost sure convergence.

Apply Novikov's criterion

Show that a $[0,\infty)-$random variable $\tau$ is $\mathcal{F}_{t+}-$stopping time if and only if $\{\tau<t\}\in\mathcal{F}_{t}$ for each $t\geq 0$.

Is it true that an Ito integral is Gaussian if and only if the integrand is deterministic?

Feller condition and Chebyshev inequality

Sufficient condition for weak existence of SDE's solutions.

Confusion on the proof of continuous time optional stopping time theorem.

Ito formula for stochastic volterra process

Example of $\inf\{t\geq 0:X_{t}=b\}\neq\inf\{t\geq 0:X_{t}\in\{b\}\}$ for a stochastic process $(X_{t})$.

Show that the first passage time of Brownian motion has infinite expectation.

Show any other solution to a 2-dimensional SDE system is constant in time

Change of variable in Ito integral

Ito integral definition of a elementary process

Using Ito's Formula to Calculate dy

Is next question right? And why?

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