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Black Scholes SDE

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#probability #stochastic-calculus
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Clarification on Stochastic Exponential

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430
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#probability #markov-chains #stochastic-calculus #markov-process #exponential-distribution
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Solve the stochastic differential equation $dX_t = \alpha X_t \, dW_t + \sigma X_t \, dt$

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-differential-equations
162
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Probability - urn problem (drawing with putting back)

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#probability #stochastic-calculus
877
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Applying ito integral to a specific example

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-differential-equations
141
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Martingale property for two stochastic processes

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#stochastic-processes #stochastic-calculus #brownian-motion #martingales
163
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Laplace transform of survival probability for stochastic diffusion

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-differential-equations
520
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Brownian Motion with rescaled time as an Ito process

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#stochastic-processes #stochastic-calculus #brownian-motion
189
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Ito differential of expectation with respect to a measure

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#measure-theory #stochastic-processes #stochastic-calculus
3.3k
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Using Ito's lemma to find a SDE

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-differential-equations
127
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Following a derivation using Ito's lemma

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#stochastic-calculus
53
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Multi-derivative of standard normal CDF

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#derivatives #stochastic-processes #normal-distribution #stochastic-calculus #stochastic-integrals
356
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Using Ito's lemma to compute a SDE

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#stochastic-calculus
164
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Itô formula question

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#stochastic-calculus

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