List questions from stochastic-calculus

Published on 26 Mar 2026 - 4:30

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Solution of SDE

Published on 26 Mar 2026 - 22:19

68

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Stochastic Differential Equation for Tensor Product of Diffusion Processes

Published on 26 Mar 2026 - 22:17

55

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mixing fractional Brownian motions

Published on 25 Mar 2026 - 15:51

34

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Equivalent of spectral density function related to fBm: $\sum_{k\in\mathbb{Z}}\vert \lambda+2k\pi\vert^{-2H-1}$

Published on 02 Apr 2026 - 2:10

74

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left-continuity / right-continuity of two processes with cycling definition.

Published on 29 Mar 2026 - 3:22

45

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Find the $\mathbb{E}[ W_{t} ^ {3} e^{W_1-\frac{1}{2}}]$

Published on 29 Mar 2026 - 16:48

173

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What does $\sigma(v(t))$ in a Langevin equation refer to?

Published on 27 Mar 2026 - 0:04

106

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Solve Langevin equation with blue noise?

Published on 25 Mar 2026 - 5:07

160

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Is it true that if $P(\int_0^T f^2(s) ds<\infty)=1$ then the exponential defines a density?

Published on 29 Mar 2026 - 18:36

33

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Integral from normal variable.

Published on 29 Mar 2026 - 6:27

66

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Change of measure

Published on 29 Mar 2026 - 16:47

170

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Solve SDE (Solved)

Published on 27 Jul 2020 - 12:09

486

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Stationary distributions of diffusion $dX(t) = -\nabla U(X(t))dt + \sqrt{2}dB_t^d$, when $U$ is $C^1(R^d \to R)$ and $\nabla U$ is Lipschitz

Published on 27 Mar 2026 - 0:05

101

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$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

Published on 29 Mar 2026 - 4:43

List Question

The integrand of Levy-Ito decomposition

Solution of SDE

Stochastic Differential Equation for Tensor Product of Diffusion Processes

mixing fractional Brownian motions

Equivalent of spectral density function related to fBm: $\sum_{k\in\mathbb{Z}}\vert \lambda+2k\pi\vert^{-2H-1}$

left-continuity / right-continuity of two processes with cycling definition.

Find the $\mathbb{E}[ W_{t} ^ {3} e^{W_1-\frac{1}{2}}]$

What does $\sigma(v(t))$ in a Langevin equation refer to?

Solve Langevin equation with blue noise?

Is it true that if $P(\int_0^T f^2(s) ds<\infty)=1$ then the exponential defines a density?

Integral from normal variable.

Change of measure

Solve SDE (Solved)

Stationary distributions of diffusion $dX(t) = -\nabla U(X(t))dt + \sqrt{2}dB_t^d$, when $U$ is $C^1(R^d \to R)$ and $\nabla U$ is Lipschitz

$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

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