List questions from stochastic-calculus

Published on 12 Apr 2026 - 10:13

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The use of dt in brownian motion simulations.

Published on 13 Apr 2026 - 21:00

44

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Why does $\langle W(t) W(s) \rangle = \min (t,s)$ for Wiener process $W$?

Published on 16 Apr 2026 - 7:54

35

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Constructing multiple solutions to a stochastic differential equation

Published on 10 Apr 2026 - 23:39

692

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How to get the Ito's formula almost surely from proving that $df(B_t)$ converges in probability to $f'(B_t)dB_t + 1/2 f''(B_t)dt$.

Published on 21 Apr 2026 - 21:31

149

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Connection SDE and PDE problem with time dependent probability measure

Published on 11 Apr 2026 - 10:51

265

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Optimal Control example from Wikipedia

Published on 16 Apr 2026 - 10:32

47

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For $X_t=\sum_{j=1}^d \int_0^t f_j(s)dB_s^j - \frac{1}{2}\int_0^t |f(s)|^2ds$, $\tau_n=\inf\{s\ge 0: |\exp(X_s)|\ge n\}\wedge n$ goes to $\infty$.

Published on 17 Apr 2026 - 4:01

199

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Expectation value of a SDE

Published on 11 Apr 2026 - 9:27

142

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Do Girsanov transformations constitute a group?

Published on 09 Apr 2026 - 20:29

1.4k

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why do we say Vasicek interest rate model has a closed form solution

Published on 11 Apr 2026 - 23:14

400

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Finding stationary distribution of the following stochastic process?

Published on 11 Apr 2026 - 21:44

1.3k

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Stochastic integral of Poisson process

Published on 10 Apr 2026 - 4:15

540

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Compute $P\left(\int_0^1W(t)dt>\frac{2}{\sqrt3}\right)$ where $W(t)$ is a Wiener process

Published on 22 Apr 2026 - 2:10

272

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What is a transition measure? How to calculate $E^{x}[f(X_t)]$?

Published on 13 Apr 2026 - 22:34

List Question

How to apply Itô's Lemma to this problem?

The use of dt in brownian motion simulations.

Why does $\langle W(t) W(s) \rangle = \min (t,s)$ for Wiener process $W$?

Constructing multiple solutions to a stochastic differential equation

How to get the Ito's formula almost surely from proving that $df(B_t)$ converges in probability to $f'(B_t)dB_t + 1/2 f''(B_t)dt$.

Connection SDE and PDE problem with time dependent probability measure

Optimal Control example from Wikipedia

For $X_t=\sum_{j=1}^d \int_0^t f_j(s)dB_s^j - \frac{1}{2}\int_0^t |f(s)|^2ds$, $\tau_n=\inf\{s\ge 0: |\exp(X_s)|\ge n\}\wedge n$ goes to $\infty$.

Expectation value of a SDE

Do Girsanov transformations constitute a group?

why do we say Vasicek interest rate model has a closed form solution

Finding stationary distribution of the following stochastic process?

Stochastic integral of Poisson process

Compute $P\left(\int_0^1W(t)dt>\frac{2}{\sqrt3}\right)$ where $W(t)$ is a Wiener process

What is a transition measure? How to calculate $E^{x}[f(X_t)]$?

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