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calculation on Ito's Lemma

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Clarification on the definition of the îto integral

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What is the probability a random walk hits x before it hits y?

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#stochastic-processes #stochastic-calculus #brownian-motion #random-walk
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Martingale Proofs

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#probability-theory #stochastic-calculus #martingales
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Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$

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#stochastic-processes #stochastic-calculus #stochastic-differential-equations
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Background for studying and understanding Stochastic differential equations

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#probability #ordinary-differential-equations #stochastic-processes #stochastic-calculus #applications
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Kolmogorov Backward Equation for Itô diffusion

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435
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Ito's Isometry for three factors

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
75
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New stochastic calculus

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#reference-request #stochastic-calculus #random-walk #stopping-times
163
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Time series (stochastic process) estimating parameters using characteristic function

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#stochastic-processes #stochastic-calculus #parameter-estimation #time-series
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Exercise 3.3.25 of Karatzas and Shreve

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion
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Karatzas and Shreve Problem 3.3.38

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#probability-theory #stochastic-processes #stochastic-calculus #martingales
325
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Representing a stochastic integral as product of a unknown random variable and a standard normal random variable

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
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Show the following is Local Martingale

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meaning of differentiation of stochastic process

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#stochastic-processes #stochastic-calculus

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