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A question on relationship between quadraticc variation of right continuous martingales?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #quadratic-variation
90
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Pricing a contract that pays G at T>0

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#probability-distributions #stochastic-processes #stochastic-calculus #martingales #finance
2.7k
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Fokker-Planck equation for Ornstein-Uhlenbeck

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#stochastic-processes #stochastic-calculus
33
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Absolutely continous probability measures and evens with full probability

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#probability #probability-theory #measure-theory #probability-distributions #stochastic-calculus
94
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A non-negative local submartingale of the class DL is a submartingale

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#stochastic-calculus #martingales #stochastic-analysis #local-martingales
131
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Finite expectation of a process implies finite process

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#probability-theory #measure-theory #stochastic-calculus #expected-value
551
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Martingale property of indefinite Ito integral

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#stochastic-processes #stochastic-calculus #brownian-motion
716
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How can we show that the Dolean Dade exponential is a supermartingale without using the Ito's lemma

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#stochastic-calculus #brownian-motion #martingales #stochastic-integrals #stochastic-analysis
200
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Construct non-trivial local martingale which is constant with positive probability

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#probability-theory #stochastic-processes #stochastic-calculus #martingales
1.1k
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linear stochastic differential equation: expectation and covariance

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#probability #stochastic-processes #expectation #stochastic-calculus #stochastic-integrals
111
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Apparent misunderstanding of the solution to an SDE

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#stochastic-processes #stochastic-calculus #stochastic-analysis
97
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$B(t)$ brownian motion, $[Y,Y](t)$ is qudratic variation,prove : 1. $[Y,Y](\infty)<\infty$ 2. for $\omega$ with $\int_0^\infty a(s)^2\, ds=\infty$,

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#probability #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-analysis
311
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expectation of a product of a brownian motion and a poisson process

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#stochastic-processes #stochastic-calculus #poisson-process
589
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Prove that the Ornstein Uhlenbeck semigroup is given by $E(f(X_t))$ where $X_t$ is the Ornstein Uhlenbeck process

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#stochastic-processes #stochastic-calculus #stochastic-analysis #semigroup-of-operators
469
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Understanding Girsanov's Theorem

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#probability #measure-theory #stochastic-processes #stochastic-calculus #finance

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