List questions from stochastic-calculus

Published on 06 Jul 2015 - 16:35

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Why is a predictable stochastic process called predictable?

Published on 06 Jul 2015 - 17:01

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Prove that the Itô integral for elementary predictable processes builds a martingale

Published on 09 Apr 2026 - 4:19

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Itô symmetry for elementary predictable stochastic processes

Published on 09 Apr 2026 - 6:11

144

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Asymptotic Expansion Method for Pricing American Option

Published on 01 Apr 2026 - 6:06

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Itô integral with respect to a diffusion

Published on 09 Apr 2026 - 6:11

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Notation in stochastic integrals

Published on 11 Apr 2026 - 3:30

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Why is the solution of a stochastic differential equation wrt the Brownian motion suitable for a model of a disturbed time continuous process

Published on 02 Apr 2026 - 17:46

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Stochastic process $\exp(W_t - t/2)$ approaches zero for large $t$, but it is a martingale?

Published on 04 Apr 2026 - 15:53

317

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Quadratic variation of the Brownian motion and Itō's lemma

Published on 02 Apr 2026 - 17:46

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Computing an Ito Integral using the Definition

Published on 09 Apr 2026 - 1:57

386

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harmonic functions and ito formula

Published on 09 Apr 2026 - 12:33

70

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The Itō integral $\sum_{i=1}^nH_{t_{i-1}}\left(B_{t_i}-B_{t_{i-1}}\right)$ of an simple process $H$ is independent of the choice of $(t_0,\ldots,t_n)$

Published on 02 Apr 2026 - 17:44

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Harmonic functions and Brownian motion

Published on 05 Apr 2026 - 20:39

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Considering the Black and Scholes model, check that $\ln(S_T)=2W_T$ in a particular case

Published on 10 Jul 2015 - 22:55

List Question

What is the general Ito formula for a function of two processes

Why is a predictable stochastic process called predictable?

Prove that the Itô integral for elementary predictable processes builds a martingale

Itô symmetry for elementary predictable stochastic processes

Asymptotic Expansion Method for Pricing American Option

Itô integral with respect to a diffusion

Notation in stochastic integrals

Why is the solution of a stochastic differential equation wrt the Brownian motion suitable for a model of a disturbed time continuous process

Stochastic process $\exp(W_t - t/2)$ approaches zero for large $t$, but it is a martingale?

Quadratic variation of the Brownian motion and Itō's lemma

Computing an Ito Integral using the Definition

harmonic functions and ito formula

The Itō integral $\sum_{i=1}^nH_{t_{i-1}}\left(B_{t_i}-B_{t_{i-1}}\right)$ of an simple process $H$ is independent of the choice of $(t_0,\ldots,t_n)$

Harmonic functions and Brownian motion

Considering the Black and Scholes model, check that $\ln(S_T)=2W_T$ in a particular case

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