List questions from stochastic-calculus

Published on 10 Apr 2026 - 12:14

34

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Solution to an ODE $f'(t) = S(0) + \mu f(t)$

Published on 17 Apr 2026 - 10:03

1k

Views

Finding the stochastic differential equation satisfied by process Y

Published on 12 Apr 2026 - 9:14

405

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Application of Ito Isometry

Published on 09 Apr 2026 - 10:29

15.6k

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Stochastic Differential Equation solution for Geometric Brownian Motion

Published on 10 Apr 2026 - 20:35

254

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Questions regarding the proof of the Ito isometry

Published on 12 Apr 2026 - 9:31

65

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Expectation is zero; left-limit of minimum (proof of Doob-Meyer decomposition, Karatzas and Shreve)

Published on 14 Apr 2026 - 5:55

94

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Prove the equality $\mathbb{E}[(X_s^2-\mathbb{E}[X_s^2])(X_t^2-\mathbb{E}[X_t^2])]=2\mathbb{E}[X_sX_t]^2$

Published on 17 Apr 2026 - 8:07

200

Views

Dealing with logarithm non-linearity in Hamilton Jacobi Bellman PDE

Published on 28 Mar 2026 - 20:07

157

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If the SDE of an Ito process is identically zero, are the drift and volatility both identically zero?

Published on 13 Apr 2026 - 17:11

800

Views

If two random variables are equal in the distribution, then the $\sigma$-algebra generated by them coincide

Published on 12 Apr 2026 - 4:33

5.8k

Views

Conversion between solution to Stratonovich SDE and Itô SDE

Published on 08 Apr 2026 - 20:52

973

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Heston model (which is a Stochastic volatility model) Ito's lemma

Published on 09 Apr 2026 - 18:20

1k

Views

Mean reverting SDE applications

Published on 10 Apr 2026 - 22:14

104

Views

Product of functions with finite chaos expansion is in $L^2(P)$

Published on 16 Apr 2026 - 3:27

List Question

$t$-continuity of Itô Integral

Solution to an ODE $f'(t) = S(0) + \mu f(t)$

Finding the stochastic differential equation satisfied by process Y

Application of Ito Isometry

Stochastic Differential Equation solution for Geometric Brownian Motion

Questions regarding the proof of the Ito isometry

Expectation is zero; left-limit of minimum (proof of Doob-Meyer decomposition, Karatzas and Shreve)

Prove the equality $\mathbb{E}[(X_s^2-\mathbb{E}[X_s^2])(X_t^2-\mathbb{E}[X_t^2])]=2\mathbb{E}[X_sX_t]^2$

Dealing with logarithm non-linearity in Hamilton Jacobi Bellman PDE

If the SDE of an Ito process is identically zero, are the drift and volatility both identically zero?

If two random variables are equal in the distribution, then the $\sigma$-algebra generated by them coincide

Conversion between solution to Stratonovich SDE and Itô SDE

Heston model (which is a Stochastic volatility model) Ito's lemma

Mean reverting SDE applications

Product of functions with finite chaos expansion is in $L^2(P)$

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