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Relation between $\text{d}M_t$ and $\text{d}B_t$ when $M_t=\max_{0\leq s\leq t}B_s$

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#stochastic-processes #brownian-motion #stochastic-calculus #stochastic-integrals
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Ito Isometry for conditional expectations

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #conditional-expectation
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Expectation of Brownian motion Integral

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#stochastic-processes #stochastic-calculus #stochastic-integrals
1.9k
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Brownian Motion Covariance: max instead of min

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#functional-analysis #stochastic-processes #hilbert-spaces #brownian-motion #stochastic-calculus
448
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Upper bound for the $\sup$ of a martingale defined as a stochastic integral of a general continuous martingale

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#probability #stochastic-processes #stochastic-calculus #stochastic-integrals
4.1k
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Explicit solution of a linear SDE

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#probability #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
522
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Funny problem about stochastic integrals and Ito' s lemma

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#probability #stochastic-processes #stochastic-calculus #stochastic-integrals
591
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Some basic questions about Stochastic Calculus

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#probability #stochastic-processes #stochastic-calculus #stochastic-integrals
118
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How do you convert an infintesimal generator of a Markov process to a transition function?

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#probability #stochastic-processes #stochastic-calculus #stochastic-analysis
102
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how to derive this form using product formula

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#stochastic-calculus #stochastic-integrals
134
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Is this a valid method for time-integrating a stochastic process?

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#probability #probability-distributions #stochastic-processes #stochastic-calculus
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Generated sigma algebra from Brownian Motion

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#measure-theory #stochastic-processes #stochastic-calculus
553
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Find the transition function of this stochastic process

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#probability-distributions #stochastic-processes #stochastic-calculus
145
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Find a density function for the endpoint of this stochastic process

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#probability-distributions #stochastic-processes #stochastic-calculus
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Is continuous L2 bounded local martingale a true martingale?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis

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