List questions from stochastic-calculus

Published on 20 Mar 2026 - 11:19

162

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2D Random walk, probability of remaining in a distance to a line

Published on 25 Mar 2026 - 6:05

630

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Derive PDE from $n^{\text{th}}$ moment of stopping time of SDE

Published on 25 Mar 2026 - 1:38

384

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$X_t$ is a cadlag semimartingale implies $f(X_t)$ is a semimartingale by using Ito's Lemma

Published on 25 Mar 2026 - 4:41

311

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Finding mean first passage time for reflecting Brownian motion

Published on 24 Mar 2026 - 22:12

157

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Product rule for integral notation

Published on 02 May 2018 - 12:00

111

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Why do we need absolute continuity of the mapping $t \mapsto \langle M \rangle_t(\omega)$ wr.t to the Lebesgue measure for almost all $\omega$?

Published on 25 Mar 2026 - 4:43

533

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Is every continuous process an Ito process

Published on 25 Mar 2026 - 11:07

93

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Prove that $X_t$ of the given SDE converges to $0$ a.s. as $t\uparrow 1$

Published on 24 Mar 2026 - 22:16

132

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Linearity of this integral for elementary processes

Published on 05 May 2018 - 23:52

391

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Inserting a squared random variable into a stochastic differential equation

Published on 06 May 2018 - 2:04

66

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Are $\xi_n(s)=1_{\{s\le\tau_n\wedge t\}}$ elementary processes ?

Published on 25 Mar 2026 - 1:36

578

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When is the quadratic variation of a process continuously differentiable?

Published on 25 Mar 2026 - 6:01

201

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Functional CLT proof Theorem 7.4.1 on page 354-355 of Ethier and Kurtz 1986

Published on 25 Mar 2026 - 4:41

97

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Does the Levy process stay in any open ball at any fixed time with positive probability?

Published on 25 Mar 2026 - 19:04

List Question

Quadratic Variation of Brownian Motion Cubed

2D Random walk, probability of remaining in a distance to a line

Derive PDE from $n^{\text{th}}$ moment of stopping time of SDE

$X_t$ is a cadlag semimartingale implies $f(X_t)$ is a semimartingale by using Ito's Lemma

Finding mean first passage time for reflecting Brownian motion

Product rule for integral notation

Why do we need absolute continuity of the mapping $t \mapsto \langle M \rangle_t(\omega)$ wr.t to the Lebesgue measure for almost all $\omega$?

Is every continuous process an Ito process

Prove that $X_t$ of the given SDE converges to $0$ a.s. as $t\uparrow 1$

Linearity of this integral for elementary processes

Inserting a squared random variable into a stochastic differential equation

Are $\xi_n(s)=1_{\{s\le\tau_n\wedge t\}}$ elementary processes ?

When is the quadratic variation of a process continuously differentiable?

Functional CLT proof Theorem 7.4.1 on page 354-355 of Ethier and Kurtz 1986

Does the Levy process stay in any open ball at any fixed time with positive probability?

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