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Conditions for sample ACF to agree with real ACF

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#stochastic-processes #stochastic-calculus #ergodic-theory
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Mean of Stochastic Integral

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#stochastic-processes #stochastic-calculus #stochastic-integrals
54
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Finding the SDE of $\int_{0}^{t} X_{s} ds$

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#stochastic-processes #stochastic-calculus #stochastic-integrals
348
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How to find steady state (stationary) solution of a stochastic differential equation?

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stationary-processes #steady-state
167
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Differential $dX_t$ of the process $X_t=e^{tW_t}$

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#stochastic-processes #stochastic-calculus #brownian-motion
81
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martingale representation of stock dynamics

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#stochastic-processes #stochastic-calculus
440
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Understanding substitution in a Stochastic Differential Equation solution?

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#stochastic-calculus #stochastic-differential-equations
105
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When are Local Martingales/Martingales(stochastic integrals wrt BM) with the same quadratic variation same?

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#stochastic-calculus #brownian-motion #martingales #stochastic-integrals #stochastic-analysis
478
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Changing the measure of a stochastic process

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#probability-theory #measure-theory #stochastic-calculus #brownian-motion #martingales
247
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Exponential distribution: defining a stochastic variable and calculating E(x) and variance

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#probability #statistics #stochastic-calculus #variance #exponential-distribution
670
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Ito representation unique up to indistinguishability? Proof?

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#stochastic-processes #stochastic-calculus #stochastic-integrals
101
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Does the identity $1_{[0,\:\tau]}\Phi\cdot W=(\Phi\cdot W)^\tau$ fail to hold, if $\tau$ is not almost surely finite?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
300
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Solution of a backward stochastic differential equation

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#stochastic-processes #stochastic-calculus #stochastic-pde
2k
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Expectation of the integral of e to the power a brownian motion with respect to the brownian motion

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#ordinary-differential-equations #stochastic-calculus
55
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Stochastic calculus question on integration convergence

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#stochastic-processes #stochastic-calculus

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