List questions from stochastic-calculus

Published on 24 Mar 2026 - 22:01

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Aggregating information and bayesian information

Published on 17 Mar 2026 - 8:30

326

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On the continuity of Gaussian processes on the interval [0,1] depending on the continuity of the covariance function

Published on 20 Mar 2026 - 5:07

228

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Solving of enhanced Hull-White $dX_t = \frac{e^t-X_t}{t-2}dt + tdW_t$

Published on 17 Mar 2026 - 8:21

108

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$\sigma$-algebra generated by a subset of a set

Published on 22 Mar 2026 - 22:25

351

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Conditional probability over two different $\sigma$-algebra

Published on 17 Mar 2026 - 12:52

254

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Let $\{W_t\}_{t\geq0}$ be a Brownian motion. Define $Y_t=e^{\frac{t}{2}}\sin(W_t)$. Show that $\{Y_t\}_{t\geq0}$ is a martingale

Published on 24 Mar 2026 - 20:33

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Calculating $E[exp(\int_0^T W_s dW_s)]$?

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Quadratic variation of $B_t=(1-t)W_{\frac{t}{t-1}}$

Published on 20 Mar 2026 - 15:34

385

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Is the Riemann integral process of an adapted process with a.s continuous paths also adapted?

Published on 29 Jan 2018 - 15:04

19

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On two equivalent definitions of the co-variation process.

Published on 17 Mar 2026 - 17:12

45

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On a particular definition of co-variation process.

Published on 20 Mar 2026 - 1:15

773

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Brownian Motion Hitting Time of a line with a negative axis intercept

Published on 20 Mar 2026 - 4:03

314

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On a stochastic calculus exercise.

Published on 17 Mar 2026 - 5:08

151

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For what values of $b$ is $X_{t}=e^{bt+ \sigma w_t}$ a martingale?

Published on 24 Mar 2026 - 20:32

List Question

Application of Fubini's theorem without integrals

Aggregating information and bayesian information

On the continuity of Gaussian processes on the interval [0,1] depending on the continuity of the covariance function

Solving of enhanced Hull-White $dX_t = \frac{e^t-X_t}{t-2}dt + tdW_t$

$\sigma$-algebra generated by a subset of a set

Conditional probability over two different $\sigma$-algebra

Let $\{W_t\}_{t\geq0}$ be a Brownian motion. Define $Y_t=e^{\frac{t}{2}}\sin(W_t)$. Show that $\{Y_t\}_{t\geq0}$ is a martingale

Calculating $E[exp(\int_0^T W_s dW_s)]$?

Quadratic variation of $B_t=(1-t)W_{\frac{t}{t-1}}$

Is the Riemann integral process of an adapted process with a.s continuous paths also adapted?

On two equivalent definitions of the co-variation process.

On a particular definition of co-variation process.

Brownian Motion Hitting Time of a line with a negative axis intercept

On a stochastic calculus exercise.

For what values of $b$ is $X_{t}=e^{bt+ \sigma w_t}$ a martingale?

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