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Will Ito's Isometry result in $E\left(\int_0^t \cos(u)\,dB_u \int_0^t \sin(u)\, dB_u \right) = E\left(\int_0^t \cos(u) \sin(u)\, du \right)$?

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#stochastic-processes #stochastic-calculus #stochastic-integrals
232
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Finding the mean of $X_t = \int_0^t sW_sdW_s$

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#probability #stochastic-processes #stochastic-calculus #stochastic-integrals
36
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Intuition behind "stochastic orthogonality"

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#stochastic-calculus #brownian-motion
224
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Backward stochastic differential equation

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#stochastic-calculus #stochastic-integrals
227
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Finding a solution to the SDE of $dX_t = -2 (1-t)^{-1}X_tdt + \sqrt{2t(1-t)} dW_t$.

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#stochastic-processes #stochastic-calculus #stochastic-integrals
475
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Stochastic control HJB equation

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
868
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costruction of brownian motion on sphere?

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#differential-geometry #stochastic-calculus #stochastic-differential-equations
248
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Ito stochastic integral vs Skorohod integral

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#stochastic-processes #stochastic-calculus #stochastic-integrals
103
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Is the stochastic integral of the jumps process equal to zero for a continuous integrator?

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#stochastic-calculus #stochastic-integrals #stochastic-analysis
197
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Solving a simple, linear type SDE

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#stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
690
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Brownian motion on sphere proof?

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#calculus #stochastic-calculus #brownian-motion #stochastic-differential-equations
475
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The Stratonovich Integral and its meaning as the limit in mean square of a sum?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
369
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Mean Value of a Random Process

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#stochastic-processes #random-variables #stochastic-calculus #random
1.5k
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Asymptotic distribution of zero-drift Geometric Brownian Motion as $t \to \infty$

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#stochastic-processes #asymptotics #stochastic-calculus #finance
113
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Use of Itô isometry for correlation calculation

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#stochastic-processes #stochastic-calculus

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