Question

Why is the drift of an Itō process considered to be a Riemann integral even when it's not even Riemann integrable?

score 211 · Answer 1 · 2026-03-29 10:49:11

211

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Why is the drift of an Itō process considered to be a Riemann integral even when it's not even Riemann integrable?

Published on 29 Mar 2026 - 10:49

score 360 · Answer 2 · 2016-01-30 22:16:30

360

Views

What is the min-max argument in mathematics?

Published on 30 Jan 2016 - 22:16

score 53 · Answer 3 · 2026-04-11 21:17:00

53

Views

Distribution of "range" of a process

Published on 11 Apr 2026 - 21:17

score 70 · Answer 4 · 2026-04-12 21:21:32

70

Views

Calculate expectation of stochastic integrals

Published on 12 Apr 2026 - 21:21

score 97 · Answer 5 · 2026-04-01 23:10:52

97

Views

Formula for contingent claim similar to European call option but with two dates for option to buy

Published on 01 Apr 2026 - 23:10

score 152 · Answer 6 · 2026-03-29 12:32:06

152

Views

Existence and uniqueness of solution of a non linear SDE

Published on 29 Mar 2026 - 12:32

score 3.2k · Answer 7 · 2026-04-10 10:00:57

3.2k

Views

derive integration by parts for a stochastic integral

Published on 10 Apr 2026 - 10:00

score 8.2k · Answer 8 · 2026-04-11 23:01:36

8.2k

Views

Use Ito's Lemma to compute $d(\log S(t))$ and use this to find the closed form solution of S(t)

Published on 11 Apr 2026 - 23:01

score 165 · Answer 9 · 2026-04-11 23:01:36

165

Views

If $S(t)$ is the stock price that satisfies BSM model in SDE form how can I derive an SDE for $S^n (t)$ for some positive integer n

Published on 11 Apr 2026 - 23:01

score 77 · Answer 10 · 2026-03-30 20:45:10

77

Views

Let $X(t) = e^{r(T-t)}/S(t)$. Find the SDE of $X(t)$ provided that $S(t)$ satisfies the BSM model.

Published on 30 Mar 2026 - 20:45

score 747 · Answer 11 · 2026-04-03 05:25:55

747

Views

local martingales/ Ito formula

Published on 03 Apr 2026 - 5:25

score 1.9k · Answer 12 · 2026-04-11 23:00:05

1.9k

Views

Probability Brownian motion is positive at two points

Published on 11 Apr 2026 - 23:00

score 61 · Answer 13 · 2026-04-06 05:18:53

61

Views

What kind of decomposition is $X_{t \wedge L}=\tilde{X}_t+\int_0^{t \wedge L} \frac{d \langle X, M^L \rangle_s}{Z^L_{s^-}}$?

Published on 06 Apr 2026 - 5:18

score 97 · Answer 14 · 2026-04-11 23:01:23

97

Views

Compute integral: $\int_0^{+\infty}\int_{-\infty}^{-x}\frac{1}{2\pi}e^{-\frac{1}{2} (x^2+y^2)}dx dy $

Published on 11 Apr 2026 - 23:01

score 115 · Answer 15 · 2026-04-03 14:50:25

115

Views

symmetrical random walk P[M(n)=k]

Published on 03 Apr 2026 - 14:50

List Question

Why is the drift of an Itō process considered to be a Riemann integral even when it's not even Riemann integrable?

What is the min-max argument in mathematics?

Distribution of "range" of a process

Calculate expectation of stochastic integrals

Formula for contingent claim similar to European call option but with two dates for option to buy

Existence and uniqueness of solution of a non linear SDE

derive integration by parts for a stochastic integral

Use Ito's Lemma to compute $d(\log S(t))$ and use this to find the closed form solution of S(t)

If $S(t)$ is the stock price that satisfies BSM model in SDE form how can I derive an SDE for $S^n (t)$ for some positive integer n

Let $X(t) = e^{r(T-t)}/S(t)$. Find the SDE of $X(t)$ provided that $S(t)$ satisfies the BSM model.

local martingales/ Ito formula

Probability Brownian motion is positive at two points

What kind of decomposition is $X_{t \wedge L}=\tilde{X}_t+\int_0^{t \wedge L} \frac{d \langle X, M^L \rangle_s}{Z^L_{s^-}}$?

Compute integral: $\int_0^{+\infty}\int_{-\infty}^{-x}\frac{1}{2\pi}e^{-\frac{1}{2} (x^2+y^2)}dx dy $

symmetrical random walk P[M(n)=k]

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