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Why the set of stochastic process Ito Integrable has to be square integrable w.r.t time as well?

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#stochastic-calculus
586
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Solving a SDE and finding its related moments

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#stochastic-calculus #stochastic-differential-equations
265
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Finding an SDE which satisfies $X(t)$

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#stochastic-processes #stochastic-calculus #stochastic-differential-equations
91
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Covariation Paradox??

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#stochastic-integrals #brownian-motion #stochastic-calculus
646
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A question related to Novikov's condition

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#probability-theory #stochastic-integrals #stochastic-calculus
160
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A solution's variance and mean

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#stochastic-calculus
119
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How to solve the expected value of such integral

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#stochastic-calculus
373
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problems in exponential martingale

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#stochastic-calculus
527
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Property of the sharp bracket process

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#probability-theory #stochastic-processes #stochastic-calculus
380
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How to check if a process is a semimartingale?

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#stochastic-processes #stochastic-calculus #stochastic-analysis
182
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How to transform a stochastic jump diffusion equation to a Levy stochastic differential equation?

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#ordinary-differential-equations #stochastic-processes #stochastic-calculus
424
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Existence of solutions to stochastic differential equations by the Banach contraction principle?

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#probability-theory #stochastic-integrals #stochastic-calculus
145
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Expectation of $\int_0^t X(r) \, dW(r)$ where $dX=\mu \, dt+\sigma \, dW$

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#stochastic-integrals #stochastic-calculus
3.4k
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Ito integral of a Brownian Motion w.r.t. an independent Brownian Motion.

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#probability-theory #stochastic-calculus
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Prove that Brownian Motion absorbed at the origin is Markov

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#probability-theory #stochastic-calculus #markov-process

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