List questions from stochastic-calculus

Published on 10 Apr 2026 - 20:19

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Proof of Itō's lemma for the Brownian motion

Published on 11 Apr 2026 - 7:07

64

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Show $\mathbb{E}Xf(X)=m\mathbb{E}f(X)+\sigma^2\mathbb{E}f'(X)$, for any function $f$, where $X$ is a Gaussian random variable$

Published on 12 Jul 2015 - 13:40

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limit of gaussian process

Published on 11 Apr 2026 - 0:36

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Show that $\lim_{|P|\to 0}\sum_{k=0}^{n-1}\frac{W(t_{k+1})+W(t_k)}{2}\left[W(t_{k+1})-W(t_k)\right]=\frac{W^2(T)}{2}$

Published on 09 Apr 2026 - 6:12

119

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Properties of Stochastic Differential Equations

Published on 08 Apr 2026 - 17:30

357

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How to prove a set is a core for an infinitesimal generator

Published on 02 Apr 2026 - 1:47

3.1k

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Quadratic Variation of Quadratic Variation

Published on 23 Feb 2026 - 12:04

476

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Distribution of stochastic integral w.r. to brownian motion

Published on 09 Apr 2026 - 8:20

570

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Stochastic Exponential - Protter

Published on 23 Feb 2026 - 11:59

40

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what would be power series of $x_t = e^{\beta_t} $ if $\beta_t$ is a Brownian motion process?

Published on 09 Apr 2026 - 8:22

31

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A Question About Probability of ratio of $\max(\cdot)$?

Published on 28 Mar 2026 - 5:22

962

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Stochastic Integral of Simple Predictable Process is a Martingale

Published on 02 Apr 2026 - 19:33

1k

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Definition of cross variation of two processes

Published on 10 Apr 2026 - 16:57

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Proving Ito's product rule

Published on 10 Apr 2026 - 20:10

List Question

Expectation of a product involving Brownian motion

Proof of Itō's lemma for the Brownian motion

Show $\mathbb{E}Xf(X)=m\mathbb{E}f(X)+\sigma^2\mathbb{E}f'(X)$, for any function $f$, where $X$ is a Gaussian random variable$

limit of gaussian process

Show that $\lim_{|P|\to 0}\sum_{k=0}^{n-1}\frac{W(t_{k+1})+W(t_k)}{2}\left[W(t_{k+1})-W(t_k)\right]=\frac{W^2(T)}{2}$

Properties of Stochastic Differential Equations

How to prove a set is a core for an infinitesimal generator

Quadratic Variation of Quadratic Variation

Distribution of stochastic integral w.r. to brownian motion

Stochastic Exponential - Protter

what would be power series of $x_t = e^{\beta_t} $ if $\beta_t$ is a Brownian motion process?

A Question About Probability of ratio of $\max(\cdot)$?

Stochastic Integral of Simple Predictable Process is a Martingale

Definition of cross variation of two processes

Proving Ito's product rule

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