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Application of Ito's formula to log and exponential

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Stochastic integral where the integrator is zero in probability

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856
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How do I solve this SDE (stochastic differential equation)?

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37
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Pricing an option on a mean-reverting assets

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#stochastic-calculus #stochastic-integrals
562
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Method for finding a arbitrage opportunity when market price of call is incorrect

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#stochastic-calculus #finance #stochastic-analysis
46
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Conditional (Truncated) Expectations > Unconditional Expectations

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#calculus #statistics #stochastic-calculus
189
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Show that a certain functional of Brownian motion is a martingale

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#stochastic-calculus #martingales
2.2k
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Applying the martingale representation theorem

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#stochastic-processes #stochastic-calculus #stochastic-analysis
59
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Relationship between distributions of correlations $\rho(X^1,Y^1)$ and $\rho(X^2,Y^2)$ if $X^2=WX^1$, $Y^2=WY^1$ and $W$ is a known stochastic matrix?

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#statistics #probability-distributions #stochastic-processes #stochastic-calculus #correlation
544
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Local martingale being true martingale

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#probability-theory #stochastic-calculus #martingales
360
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Integral of Constant Parameter Martingale

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-analysis
1.4k
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Exponential Martingales

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20
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Confusion with indexes in this Stochastic D.E

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#stochastic-calculus #stochastic-differential-equations
105
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proving independence of stochastic integrals

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
124
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Wiener measure of smooth function in space of continuous function.

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#measure-theory #stochastic-calculus #stochastic-analysis #wiener-measure

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