List questions from stochastic-calculus

109

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Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

Published on 23 Feb 2026 - 8:27

92

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Why is transient behaviour of a stochastic system not captured in the frequency domain?

Published on 27 Mar 2026 - 0:04

232

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Ito process and martingale.

Published on 18 Jun 2020 - 11:04

2k

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Infinitesimal generator of the Brownian motion on a sphere

Published on 27 Mar 2026 - 0:05

55

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Stochastic partial integration: Do the stochastic integrators have to be independent?

Published on 26 Mar 2026 - 20:44

121

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Multiple Ito integral viewed as an isometry in a (symmetric) tensor product space.

Published on 23 Feb 2026 - 10:02

382

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Average velocity of overdamped particles in external field

Published on 25 Mar 2026 - 14:22

159

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Auxiliary result related to the exponential martingale inequality

Published on 28 Mar 2026 - 23:58

105

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Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

Published on 29 Mar 2026 - 0:00

393

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Wiener integral as a special case of Ito integral

Published on 28 Mar 2026 - 23:58

437

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Expected value and variance of a stopping time

Published on 20 Jun 2020 - 20:49

177

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What is the popular way to simulate an Ito process?

Published on 29 Mar 2026 - 3:10

103

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Variation and Quadratic variation of $\int B(s) ds$

Published on 22 Jun 2020 - 17:18

55

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If $f$ is nice what is $E[f(B(t)) \mid \mathcal F_s]$ for $s\leq t$?

Published on 29 Mar 2026 - 15:16

211

Views

Differentiating a function that includes variance

Published on 29 Mar 2026 - 15:23

List Question

Write the martingale part of this semimartingale as an Itō integral process with respect to a one-dimensional Brownian motion

Why is transient behaviour of a stochastic system not captured in the frequency domain?

Ito process and martingale.

Infinitesimal generator of the Brownian motion on a sphere

Stochastic partial integration: Do the stochastic integrators have to be independent?

Multiple Ito integral viewed as an isometry in a (symmetric) tensor product space.

Average velocity of overdamped particles in external field

Auxiliary result related to the exponential martingale inequality

Show that $\operatorname P\left[\sup_{s\in[0,\:t]}\left(M_s-\frac\alpha2[M]_s\right)\ge\alpha\beta\right]\le e^{-\alpha\beta}$

Wiener integral as a special case of Ito integral

Expected value and variance of a stopping time

What is the popular way to simulate an Ito process?

Variation and Quadratic variation of $\int B(s) ds$

If $f$ is nice what is $E[f(B(t)) \mid \mathcal F_s]$ for $s\leq t$?

Differentiating a function that includes variance

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