List questions from stochastic-calculus

Published on 08 Apr 2026 - 19:46

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Expected value of product of an ito integral and a random variable

Published on 10 Apr 2026 - 23:08

73

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$X_t=\int_{0}^{t}(a_{0}+a_{1}\frac{u}{t}+\ldots+a_{n}\frac{u^{n}}{t^{n}})dB(u)$ is a Brownian motion for suitable non-zero constants $a_0,\ldots,a_n$

Published on 03 Apr 2026 - 11:08

438

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Hitting times for Brownian motions

Published on 30 Mar 2026 - 5:15

184

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PDE for Brownian Bridge Expectation?

Published on 11 Apr 2026 - 0:56

371

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How can we identify $\omega\in\Omega$ with a path of Brownian motion $t\rightarrow B_t(\omega)$?

Published on 13 Apr 2026 - 1:37

74

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expected value problem for a normalized integral of sign

Published on 08 Apr 2026 - 18:05

43

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Multi-derivative containing standard normal CDF

Published on 13 Apr 2026 - 4:42

2.1k

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Why is Backward SDE more difficult than forward SDE?

Published on 10 Apr 2026 - 4:39

124

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Kummer equation, solution to find optimal value

Published on 08 Apr 2026 - 22:33

83

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Solve this simple Linear SDE?

Published on 29 Mar 2026 - 12:23

596

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Integral w.r.t. a Martingale

Published on 03 Apr 2026 - 9:27

1.3k

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Stopping Times, the $\inf$ is not a stopping time

Published on 30 Mar 2026 - 7:02

414

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Distribution of stochastic process and Ito's lemma

Published on 13 Apr 2026 - 3:00

2.5k

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Good book that contains stochastic integration, martingales and Lévy-processes?

Published on 26 Mar 2026 - 20:39

List Question

Use Ito formula to compute expected value

Expected value of product of an ito integral and a random variable

$X_t=\int_{0}^{t}(a_{0}+a_{1}\frac{u}{t}+\ldots+a_{n}\frac{u^{n}}{t^{n}})dB(u)$ is a Brownian motion for suitable non-zero constants $a_0,\ldots,a_n$

Hitting times for Brownian motions

PDE for Brownian Bridge Expectation?

How can we identify $\omega\in\Omega$ with a path of Brownian motion $t\rightarrow B_t(\omega)$?

expected value problem for a normalized integral of sign

Multi-derivative containing standard normal CDF

Why is Backward SDE more difficult than forward SDE?

Kummer equation, solution to find optimal value

Solve this simple Linear SDE?

Integral w.r.t. a Martingale

Stopping Times, the $\inf$ is not a stopping time

Distribution of stochastic process and Ito's lemma

Good book that contains stochastic integration, martingales and Lévy-processes?

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