List questions from stochastic-calculus

33

Views

If $B$ is a Brownian motion and $f \in \mathcal C^2(\mathbb R^n)$ harmonic, then $f(B)$ is a continuous martingale

Published on 23 Feb 2026 - 10:06

110

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How can I show that $(\|B_t\|^2-dt)_{t\geq 0}$ is a martingale?

Published on 22 Mar 2023 - 22:50

28

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On stochastic derivative: an apparent contradiction(?)

Published on 30 Mar 2026 - 13:38

81

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Asymptotic variance of stochastic differential equation

Published on 27 Mar 2026 - 13:19

60

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How to take the average of a stochastic differential equation?

Published on 27 Mar 2026 - 13:19

144

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On Langevin equation and Ito's lemma

Published on 27 Mar 2026 - 13:27

112

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Tensorial Ito formula for the tangent space of a manifold

Published on 27 Mar 2026 - 11:48

104

Views

$(1-t)\int_0^t \frac{1}{1-s}\,dB_s\overset{d}{=} B_t-tB_1$?

Published on 23 Feb 2026 - 9:51

54

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Brownian local time convergence

Published on 27 Mar 2026 - 20:30

46

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On the Ornstein-Uhlenbeck process

Published on 30 Mar 2026 - 1:16

59

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Stratonovitch integrals

Published on 27 Mar 2026 - 16:26

83

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Derive the optimal feedback control and the value function of a stochastic control problem with log cosh function as terminal cost function.

Published on 25 Mar 2026 - 9:34

45

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Expectation of a stochastic differential

Published on 23 Feb 2026 - 1:03

119

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Converse of Dynkin's formula

Published on 26 Mar 2026 - 8:15

50

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Stochastic optimal control problem (calculus)

Published on 01 Apr 2023 - 18:18

List Question

If $B$ is a Brownian motion and $f \in \mathcal C^2(\mathbb R^n)$ harmonic, then $f(B)$ is a continuous martingale

How can I show that $(\|B_t\|^2-dt)_{t\geq 0}$ is a martingale?

On stochastic derivative: an apparent contradiction(?)

Asymptotic variance of stochastic differential equation

How to take the average of a stochastic differential equation?

On Langevin equation and Ito's lemma

Tensorial Ito formula for the tangent space of a manifold

$(1-t)\int_0^t \frac{1}{1-s}\,dB_s\overset{d}{=} B_t-tB_1$?

Brownian local time convergence

On the Ornstein-Uhlenbeck process

Stratonovitch integrals

Derive the optimal feedback control and the value function of a stochastic control problem with log cosh function as terminal cost function.

Expectation of a stochastic differential

Converse of Dynkin's formula

Stochastic optimal control problem (calculus)

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