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Expectations of a stochastic process

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#probability #stochastic-processes #expectation #stochastic-calculus
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Isometry between $L^2$ and a space of RCLL martingale

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#general-topology #normed-spaces #stochastic-calculus #lp-spaces
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Integral of a random process over time?

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#stochastic-processes #stochastic-calculus
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Matrix representation for a solution

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#linear-algebra #stochastic-processes #stochastic-calculus #education
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Solving an SDE by using Ito's formula

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#stochastic-calculus #finance
49
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What is exactly $\int X_t\mathrm d B_t$?

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#stochastic-calculus #stochastic-integrals
333
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Martingale property of a stochastic process

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#stochastic-processes #stochastic-calculus #stochastic-integrals
99
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Ito's Lemma for level set

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#partial-differential-equations #stochastic-processes #stochastic-calculus #stochastic-differential-equations
285
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Brownian motion integral variation

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#probability #probability-theory #stochastic-calculus #brownian-motion #stochastic-integrals
39
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Expectation of $\mathbb{E}[(X_3-c)^{+}]$ with $X_3 \sim N(0,1)$

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#calculus #normal-distribution #expectation #stochastic-calculus #stochastic-integrals
92
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Distribution of a vector with stochastic components.

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#stochastic-processes #normal-distribution #stochastic-calculus #stochastic-integrals #gaussian-integral
2.4k
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Justification for why an Itô process is a martingale if and only if the drift is identically zero?

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#stochastic-processes #stochastic-calculus #martingales
190
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Conditional Expectation depending on two processes

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#probability-theory #stochastic-processes #stochastic-calculus #conditional-expectation #stochastic-integrals
121
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Is there a specific term for this SDE?

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#stochastic-calculus #stochastic-differential-equations
571
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Solving this SDE $dX_t = aX_tdt + bdW_t$, $X_0 = x$ to find $E[X_t^2]$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations

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