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An Ito process $Y_t$ such that $Y_{t}^x(\omega)=x+\int_0^tu(s,\omega)ds+\int_0^tv(s,\omega)dB_s(\omega)$

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#probability-theory #stochastic-processes #stochastic-calculus
276
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Stopping time clarification

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#measure-theory #stochastic-calculus #stopping-times #filtrations
208
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Are SDE's really "differential"?

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
251
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Chance constrained stochastic programming

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#probability #probability-theory #stochastic-processes #stochastic-calculus #stochastic-programming
89
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Issues with notation of Ito Integral

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#stochastic-processes #stochastic-calculus #stochastic-analysis
378
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Ito process with random, mean zero drift is a Brownian motion?

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#stochastic-processes #stochastic-calculus #brownian-motion
77
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Random partitions tending to identity

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#probability-theory #stochastic-calculus #stochastic-analysis
87
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Is this the definition of stochastic integral up to a stopping/explosion time?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
823
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Problem on the exponential martingale with the Brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion #martingales #stochastic-integrals
287
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Meaning of "intensity measure" for Poisson processes

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#stochastic-processes #terminology #stochastic-calculus #stochastic-analysis #poisson-process
264
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Local time and $\int_0^t \operatorname{sgn}(B_t-x)\,dB_t$

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#probability #stochastic-calculus #brownian-motion #martingales
100
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Substitution in two coupled Ito SDEs

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#stochastic-processes #random-variables #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
36
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Conditional probability by joint distribution

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#probability #stochastic-calculus
104
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Question about Protter's proof of the Ito's formula

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#probability #stochastic-calculus #stochastic-integrals #stochastic-analysis
48
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Solving Matrix RODEs with 1/f noise

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#stochastic-processes #stochastic-calculus #random-matrices #stochastic-differential-equations

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