List questions from stochastic-calculus

Published on 14 Apr 2023 - 8:34

31

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Clarifying the square integral conditions about stochastic integral

Published on 14 Apr 2023 - 10:03

21

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(Uniform) Continuity (on set) of Wiener Field/Brownian Sheet

Published on 14 Apr 2023 - 15:22

301

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A matrix form of Itô's lemma

Published on 15 Apr 2023 - 9:05

28

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Gaussian process with scalar input and 2D output

Published on 31 Mar 2026 - 5:40

73

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Forward integral of fractional Brownian motion

Published on 16 Apr 2023 - 13:46

37

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exit from boundary of process $X_t$ characterized by 1d SDE

Published on 27 Mar 2026 - 16:26

53

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Bounding the second moment of exponential martingale

Published on 27 Mar 2026 - 15:07

144

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Expected value and variance of the integral of the short rate under the Vasicek model

Published on 30 Mar 2026 - 1:15

28

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Evaluating the integral of brownian motion with respect to time with defined limits of integration

Published on 18 Apr 2023 - 21:28

73

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Distribution of a stopped Brownian motion at the hitting time of an independent process

Published on 19 Apr 2023 - 7:09

35

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Derivative of Expected Value and Variance of integral with stochastic term?

Published on 27 Mar 2026 - 16:47

77

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How to calculate the variance of the integral of a stochastic process?

Published on 27 Mar 2026 - 14:59

41

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How can I show $\Bbb{P}(B_t\leq x, B^*_t\leq y)=F\left(\frac{x}{\sqrt t}\right)-F\left(\frac{x-2y}{\sqrt t}\right)$for geometric brownian motion?

Published on 23 Apr 2023 - 14:09

203

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Incorrect use of Ito's lemma

Published on 27 Mar 2026 - 15:07

List Question

References for estimates $E[|X_t|^{2n}]$ and $E[|X_t-X_{t_0}|^{2n}]$ of SDE

Clarifying the square integral conditions about stochastic integral

(Uniform) Continuity (on set) of Wiener Field/Brownian Sheet

A matrix form of Itô's lemma

Gaussian process with scalar input and 2D output

Forward integral of fractional Brownian motion

exit from boundary of process $X_t$ characterized by 1d SDE

Bounding the second moment of exponential martingale

Expected value and variance of the integral of the short rate under the Vasicek model

Evaluating the integral of brownian motion with respect to time with defined limits of integration

Distribution of a stopped Brownian motion at the hitting time of an independent process

Derivative of Expected Value and Variance of integral with stochastic term?

How to calculate the variance of the integral of a stochastic process?

How can I show $\Bbb{P}(B_t\leq x, B^*_t\leq y)=F\left(\frac{x}{\sqrt t}\right)-F\left(\frac{x-2y}{\sqrt t}\right)$for geometric brownian motion?

Incorrect use of Ito's lemma

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