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Ito's formula but not given $\mu$ and $\sigma$

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#stochastic-calculus #brownian-motion
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Check process is a martingale

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
879
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Finding the Levy measure

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#probability #stochastic-processes #stochastic-calculus #stochastic-analysis #levy-processes
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Compute expectation of the cube of stochastic integral

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#stochastic-calculus
22
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Find E(X^-1) for stochastic variable

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#integration #stochastic-calculus #stochastic-integrals
122
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Probability of exponential of brownian motion

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#probability #stochastic-calculus
2k
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Check solution to the SDE $dX_t = - \mu X_t \, dt+ \sigma \, dW_t$

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#stochastic-calculus #brownian-motion #stochastic-differential-equations
351
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Ito's formula; when to use one and when to use the other form

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#stochastic-calculus #stochastic-analysis
212
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Suppose $dX_t = a(X_t) dt + b(X_t) dW_t$ and $Y_s=X_t$ where $s=t^2$. What SDE does $Y_s$ satisfy in the weak sense?

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#stochastic-processes #stochastic-calculus
950
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Ito integral for Brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion
771
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hitting time for a continuous time markov chain

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#stochastic-processes #markov-chains #stochastic-calculus #markov-process
555
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Mean value of stochastic process with random variable as the index

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#stochastic-processes #stochastic-calculus #independence #means #density-function
129
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Integrability condition of stochastic Fubini's theorem

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#stochastic-calculus #stochastic-integrals
457
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Numerical method for SDEs

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#ordinary-differential-equations #reference-request #numerical-methods #stochastic-calculus
46
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Question about the bounded requirement of the simple function of definition of stochastic integration

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#stochastic-calculus

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