List questions from stochastic-calculus

Published on 01 Apr 2026 - 0:10

25

Views

Prove that the integral of the moments of Cox–Ingersoll–Ross model is finite

Published on 13 Mar 2024 - 9:00

50

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Proving that the expected value of an $L^2$ approximation of $\int_{0}^{T} B_t^2 \,dt$ by simple functions goes to 0 as $n \to \infty$

Published on 01 Apr 2026 - 12:03

33

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Understanding the definition of the Ito integral in Oksendal

Published on 01 Apr 2026 - 10:27

45

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Winding numbers in QCD and winding numbers in complex analysis. Is there a relation through a differential geometric generalization?

Published on 15 Mar 2024 - 10:59

24

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Stochastic switching between Fokker-Planck equations

Published on 17 Mar 2024 - 12:04

90

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Ito's Lemma applied to the Solution to the General Linear Equation

Published on 28 Mar 2026 - 22:55

61

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Weak Uniqueness of solution of SDE

Published on 29 Mar 2026 - 2:12

36

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Proof that an Ito diffusion start with 0 will be positive immediately

Published on 29 Mar 2026 - 2:29

58

Views

Generator of the joint process $(X_t,Y_t)$ where $Y_t= e^{-t}W(e^{2t})$ and $X_t = \int^t_0 Y_sds$.

Published on 07 Apr 2026 - 21:24

49

Views

deriving covariance of SDE from fokker-planck

Published on 29 Mar 2026 - 3:28

38

Views

Confused by the notation in Steele's Stochastic Calculus

Published on 24 Mar 2024 - 13:59

43

Views

Question about convergence in stochastic integration

Published on 26 Mar 2024 - 2:38

59

Views

Characteristic function of a random variable by Fourier transform

Published on 29 Mar 2026 - 2:11

27

Views

Weak Solution to SDE's, question about the definition

Published on 29 Mar 2026 - 2:29

List Question

Showing Variant of Exponential Martingale is a super-martingale

Prove that the integral of the moments of Cox–Ingersoll–Ross model is finite

Proving that the expected value of an $L^2$ approximation of $\int_{0}^{T} B_t^2 \,dt$ by simple functions goes to 0 as $n \to \infty$

Understanding the definition of the Ito integral in Oksendal

Winding numbers in QCD and winding numbers in complex analysis. Is there a relation through a differential geometric generalization?

Stochastic switching between Fokker-Planck equations

Ito's Lemma applied to the Solution to the General Linear Equation

Weak Uniqueness of solution of SDE

Proof that an Ito diffusion start with 0 will be positive immediately

Generator of the joint process $(X_t,Y_t)$ where $Y_t= e^{-t}W(e^{2t})$ and $X_t = \int^t_0 Y_sds$.

deriving covariance of SDE from fokker-planck

Confused by the notation in Steele's Stochastic Calculus

Question about convergence in stochastic integration

Characteristic function of a random variable by Fourier transform

Weak Solution to SDE's, question about the definition

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