List questions from stochastic-calculus

Published on 25 Mar 2026 - 17:37

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brownian motion - expected value

Published on 25 Mar 2026 - 15:56

53

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Solution of the differential equation $\ddot{x}(t)+\sin(\omega t)x(t)=cos[\eta(t)]$

Published on 05 Sep 2018 - 8:39

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Calculate a multiple Ito integral

Published on 25 Mar 2026 - 16:05

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Distribution of random variable given by SDE at some point in time

Published on 26 Mar 2026 - 9:48

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brownian motion - covariance in two independent brownian motions

Published on 26 Mar 2026 - 4:38

235

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Dealing with different definitions of the Ornstein–Uhlenbeck process

Published on 07 Sep 2018 - 20:51

171

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Malliavin derivative of a gaussian

Published on 22 Mar 2026 - 22:36

472

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Paradox Brownian Motion : P(first passage time < infinite) = 1 yet E(first passage time) = infinite?

Published on 25 Mar 2026 - 14:24

498

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Let $W=\{W_t:t\geq0\}$ be a Brownian motion. Find $\operatorname{Var}(W_1^3)$

Published on 11 Sep 2018 - 12:29

59

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Time change and stochastic differentials

Published on 12 Sep 2018 - 0:18

51

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Convergence in $L^2( [0,T] \times \Omega )$ implies uniform convergence

Published on 14 Sep 2018 - 12:12

54

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Equivalent formulations of stochastic HJB equation

Published on 25 Mar 2026 - 9:27

29

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Why is $P^{\mu}[B_0 \in \Gamma]=\mu(\Gamma)$

Published on 26 Mar 2026 - 6:15

308

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covariance of the integral of brownian motion over disjoint intervals

Published on 26 Mar 2026 - 4:36

List Question

Time to first jump for doubly stochastic poisson process (cox process)

brownian motion - expected value

Solution of the differential equation $\ddot{x}(t)+\sin(\omega t)x(t)=cos[\eta(t)]$

Calculate a multiple Ito integral

Distribution of random variable given by SDE at some point in time

brownian motion - covariance in two independent brownian motions

Dealing with different definitions of the Ornstein–Uhlenbeck process

Malliavin derivative of a gaussian

Paradox Brownian Motion : P(first passage time < infinite) = 1 yet E(first passage time) = infinite?

Let $W=\{W_t:t\geq0\}$ be a Brownian motion. Find $\operatorname{Var}(W_1^3)$

Time change and stochastic differentials

Convergence in $L^2( [0,T] \times \Omega )$ implies uniform convergence

Equivalent formulations of stochastic HJB equation

Why is $P^{\mu}[B_0 \in \Gamma]=\mu(\Gamma)$

covariance of the integral of brownian motion over disjoint intervals

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