List questions from stochastic-calculus

213

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A stochastic process $X$ with values in a separable Banach space $E$ is a martingale iff $f(X)$ is a martingale for all $f\in E^\ast$

Published on 06 Apr 2026 - 1:54

385

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Linear non-homogenous SDE

Published on 29 Mar 2026 - 10:55

84

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An application of Ito's formula

Published on 03 Apr 2026 - 5:27

1.9k

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Quadratic variation of semi-martingale

Published on 11 Apr 2026 - 19:37

675

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Exponential martingale and change of measure

Published on 12 Apr 2026 - 14:21

190

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Independent stochastic processes

Published on 06 Apr 2026 - 8:00

275

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How to evaluate the expectation of the exponential of reflected brownian motion

Published on 11 Apr 2026 - 19:30

219

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Uniform integrability of process with bounded conditional expectation

Published on 26 Mar 2026 - 16:08

23

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Is $\lim_{S\rightarrow T} \frac{1}{S-T} ( \frac{B(t,T)}{B(t,S)} - 1) = -\frac{\partial}{\partial T} \ln B(t,T)$?

Published on 01 Apr 2026 - 20:06

56

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Does Ito isometry hold pointwise?

Published on 28 Mar 2026 - 13:59

20

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Manipulating a log normal variable

Published on 15 Jan 2016 - 2:05

138

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An issue of dependent and independent random variables involving geometric Brownian motion.

Published on 12 Apr 2026 - 16:01

486

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$dX_t/X_t=\mu\, dt+\sigma \, dZ_t$, does this notation make sense?

Published on 01 Apr 2026 - 20:03

81

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How can I prove the equivalence of these two Ito's lemma notations?

Published on 03 Apr 2026 - 5:28

70

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Why $d\langle X \rangle_t = d X_t dX_t$ if $X_t$ is a semimartingale?

Published on 03 Apr 2026 - 5:29

List Question

A stochastic process $X$ with values in a separable Banach space $E$ is a martingale iff $f(X)$ is a martingale for all $f\in E^\ast$

Linear non-homogenous SDE

An application of Ito's formula

Quadratic variation of semi-martingale

Exponential martingale and change of measure

Independent stochastic processes

How to evaluate the expectation of the exponential of reflected brownian motion

Uniform integrability of process with bounded conditional expectation

Is $\lim_{S\rightarrow T} \frac{1}{S-T} ( \frac{B(t,T)}{B(t,S)} - 1) = -\frac{\partial}{\partial T} \ln B(t,T)$?

Does Ito isometry hold pointwise?

Manipulating a log normal variable

An issue of dependent and independent random variables involving geometric Brownian motion.

$dX_t/X_t=\mu\, dt+\sigma \, dZ_t$, does this notation make sense?

How can I prove the equivalence of these two Ito's lemma notations?

Why $d\langle X \rangle_t = d X_t dX_t$ if $X_t$ is a semimartingale?

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