List questions from stochastic-calculus

Published on 29 Apr 2026 - 12:50

165

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

Published on 10 May 2026 - 18:05

634

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

Published on 10 May 2026 - 19:41

387

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

Published on 11 May 2026 - 3:13

314

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Finding mean first passage time for reflecting Brownian motion

Published on 10 May 2026 - 21:52

160

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Product rule for integral notation

Published on 11 Apr 2026 - 9:10

114

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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 11 May 2026 - 5:46

535

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Is every continuous process an Ito process

Published on 10 Apr 2026 - 3:08

96

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

Published on 10 May 2026 - 15:03

135

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Linearity of this integral for elementary processes

Published on 14 Apr 2026 - 17:45

394

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Inserting a squared random variable into a stochastic differential equation

Published on 11 Apr 2026 - 13:16

69

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

Published on 10 May 2026 - 16:13

581

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When is the quadratic variation of a process continuously differentiable?

Published on 10 May 2026 - 21:26

204

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

Published on 10 May 2026 - 21:28

98

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

Published on 10 May 2026 - 16:05

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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