List questions from stochastic-calculus

Published on 25 Mar 2026 - 12:32

266

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Gaussian process properties

Published on 13 Aug 2018 - 20:50

81

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Expectation of the absolute of the difference between two B.M, $\DeclareMathOperator*{\E}{\mathbb{E}}|B(s)-B(t)|=\sqrt{\frac{2}{\pi}}|t-s|^{1/2}$?

Published on 25 Mar 2026 - 12:34

371

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Finding SDE for stochastic process

Published on 15 Aug 2018 - 18:53

1.1k

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How can variance and mean of brownian motion be stated

Published on 26 Mar 2026 - 4:34

250

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Preservation of martingale property under absolutely continuous monotone time change

Published on 26 Mar 2026 - 6:29

240

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Prove that $\forall j,k \in \{1, ..., N\}, \ \forall {n \in \mathbb N}, p^n_{j,k}=\langle T^n e_k,e_j \rangle$.

Published on 17 Aug 2018 - 10:30

60

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Predictable graph of a random set

Published on 25 Mar 2026 - 6:32

85

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Distribution of Stopped Wiener Process with Stochastic Volatility

Published on 25 Mar 2026 - 6:34

4.5k

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Show that the stochastic exponential is a true martingale

Published on 26 Mar 2026 - 2:54

37

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Expectation over mixing distribution

Published on 25 Aug 2018 - 9:42

196

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What mathematical prerequisites do I need to properly learn stochastic DEs?

Published on 26 Aug 2018 - 1:11

73

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Calculate the dynamics of ZCB given forward-rate dynamics

Published on 25 Mar 2026 - 16:51

35

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Convergence of "AA" Subsequence of sequence strongly convergent of order $\alpha$

Published on 28 Aug 2018 - 17:19

90

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How to solve this stochastic differential equation, $dx_t=\mu dt+(\sigma-\bar{\sigma}x_t)dW_t$?

Published on 25 Mar 2026 - 1:38

List Question

Show that an Ito process is a martingale.

Gaussian process properties

Expectation of the absolute of the difference between two B.M, $\DeclareMathOperator*{\E}{\mathbb{E}}|B(s)-B(t)|=\sqrt{\frac{2}{\pi}}|t-s|^{1/2}$?

Finding SDE for stochastic process

How can variance and mean of brownian motion be stated

Preservation of martingale property under absolutely continuous monotone time change

Prove that $\forall j,k \in \{1, ..., N\}, \ \forall {n \in \mathbb N}, p^n_{j,k}=\langle T^n e_k,e_j \rangle$.

Predictable graph of a random set

Distribution of Stopped Wiener Process with Stochastic Volatility

Show that the stochastic exponential is a true martingale

Expectation over mixing distribution

What mathematical prerequisites do I need to properly learn stochastic DEs?

Calculate the dynamics of ZCB given forward-rate dynamics

Convergence of "AA" Subsequence of sequence strongly convergent of order $\alpha$

How to solve this stochastic differential equation, $dx_t=\mu dt+(\sigma-\bar{\sigma}x_t)dW_t$?

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