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Proof that if $f$ is continuous and of bounded variation then $h(t) =x + \int_{[0,t]}h(s) df(s)$ iff $ h(t) = xe^{f(t)} $

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#probability #stochastic-calculus
331
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Bayes rule and application for stochastic process

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#probability #probability-theory #random-variables #stochastic-calculus #brownian-motion
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Definition of separable stochastic process. Which is the "intuition" behind such a definition?

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#probability-theory #stochastic-processes #stochastic-calculus #intuition #separable-spaces
368
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Girsanov theorem with stochastic drift

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#stochastic-processes #stochastic-calculus #martingales
23
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Translating the time domain of the stochastic integral

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#probability-theory #stochastic-processes #solution-verification #stochastic-calculus
307
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Conditional running maximum of brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion #conditional-probability
71
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Fastest Path to a Random Point Via Variational Calculus

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#calculus #optimization #stochastic-calculus #calculus-of-variations
83
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Is this (stochastic) integral finite?

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#probability #stochastic-calculus #stochastic-differential-equations
67
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Expectation and Variance of a Random Variable

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#stochastic-calculus #expected-value #finance #variance
205
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Decomposition of a martingale into a semimartingale

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
1k
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how to get brownian bridges maximum and minimum's joint distribution

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#probability-theory #stochastic-calculus #brownian-motion
272
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Stochastic calculus: upper bound given Lipschitz drift and diffusion

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#real-analysis #stochastic-calculus #stochastic-differential-equations
704
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Joint distribution of Brownian motion and its running maximum when time is different

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion
179
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Integrability of stopped process

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#probability #probability-theory #stochastic-processes #stochastic-calculus #martingales
230
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Mean Reverting Heston Model?

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#stochastic-processes #stochastic-calculus #finance #stochastic-differential-equations

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