List questions from stochastic-calculus

Published on 31 Aug 2023 - 5:52

27

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find and sketch the distribution and density function of the random variable y = g(x). where x ~ N(0,c^2), and g(x) = x^2,

Published on 04 Sep 2023 - 21:57

26

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Why is $X_{t+}$ measurable w.r.t $\mathcal{F}_{t_+}$?

Published on 30 Mar 2026 - 9:50

159

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Sup-norm of Gaussian process

Published on 05 Sep 2023 - 10:48

68

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Confusion about extending the definition of stochastic integral to continuous local martingales

Published on 31 Mar 2026 - 5:42

165

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Differentiability of a Poisson process

Published on 28 Mar 2026 - 2:02

56

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Continuous approximation of discrete Markov Chain

Published on 10 Sep 2023 - 15:51

95

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What is the difference between $dx/x$ and $d(\log x)$?

Published on 03 Apr 2026 - 12:53

39

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Expectation of capped hitting time

Published on 28 Mar 2026 - 21:50

87

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Girsanov from stochastic starting points.

Published on 28 Mar 2026 - 2:03

52

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Reference request: showing that solution of an Ito SDE stays bounded with positive probability

Published on 28 Mar 2026 - 2:04

80

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Use Ito's lemma to find the process's mean and variance

Published on 28 Mar 2026 - 2:10

103

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Distribution of $\int_0^t \left(\int_0^s W(u)\,du\right)\,ds$

Published on 28 Mar 2026 - 2:05

40

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Rescaling the time variable in a system of SDEs.

Published on 03 Apr 2026 - 1:53

40

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Smoothness of the stopping time expectation: $\mathbb{E}[V(\tau)|W_t=x]$?

Published on 19 Sep 2023 - 4:30

List Question

Dynamical equation for covariance term

find and sketch the distribution and density function of the random variable y = g(x). where x ~ N(0,c^2), and g(x) = x^2,

Why is $X_{t+}$ measurable w.r.t $\mathcal{F}_{t_+}$?

Sup-norm of Gaussian process

Confusion about extending the definition of stochastic integral to continuous local martingales

Differentiability of a Poisson process

Continuous approximation of discrete Markov Chain

What is the difference between $dx/x$ and $d(\log x)$?

Expectation of capped hitting time

Girsanov from stochastic starting points.

Reference request: showing that solution of an Ito SDE stays bounded with positive probability

Use Ito's lemma to find the process's mean and variance

Distribution of $\int_0^t \left(\int_0^s W(u)\,du\right)\,ds$

Rescaling the time variable in a system of SDEs.

Smoothness of the stopping time expectation: $\mathbb{E}[V(\tau)|W_t=x]$?

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