List questions from stochastic-calculus

Published on 17 Mar 2026 - 9:04

147

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How to derive the differential notation of Ito process

Published on 22 Mar 2026 - 16:30

873

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Applying Ito's formula on a $C^1$ only differentiable function yielding a martingale

Published on 17 Mar 2026 - 9:29

492

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Existence of a weak solution of a stochastic differential equation

Published on 06 Feb 2018 - 12:13

319

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Levy Process and characteristic function

Published on 20 Mar 2026 - 9:44

333

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Why aren't the sample paths of this stochastic process defined?

Published on 17 Mar 2026 - 20:40

1.2k

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Show that for a continuous Gaussian martingale process $M$ that $\langle M, M \rangle_t = f(t)$ is continuous, monotone, and nondecreasing

Published on 19 Mar 2026 - 18:08

86

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State Price Density Integration - Related to Ito's lemma

Published on 25 Mar 2026 - 2:34

32

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X is r.v. on ($\Omega$,F,P) where $E[\left\lvert X \right\rvert^a] < \infty$. Prove $E[\left\lvert X \right\rvert^b] < \infty$ for all $0<b\le a$

Published on 13 Feb 2018 - 9:27

4.3k

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Is an absorbing state necessarily recurrent?

Published on 14 Feb 2018 - 7:00

559

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Understanding proof that if $\rho_{xy} >0$ but $\rho_{yx}<1$, then x is transient.

Published on 14 Feb 2018 - 8:17

153

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Is the solution to this (simple) Stochastic Differential Equation unique?

Published on 17 Mar 2026 - 22:04

122

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Show that $(S_t - M_t) \phi(S_t) = \Phi(S_t) - \int_{0}^{t} \phi(S_s) dM_s$

Published on 22 Mar 2026 - 10:32

35

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Convolution inequality on stochastic cadlag functions

Published on 22 Mar 2026 - 12:18

14

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Bounding the integral of a stochastic return process

Published on 22 Mar 2026 - 19:40

List Question

Closed form of a SDE

How to derive the differential notation of Ito process

Applying Ito's formula on a $C^1$ only differentiable function yielding a martingale

Existence of a weak solution of a stochastic differential equation

Levy Process and characteristic function

Why aren't the sample paths of this stochastic process defined?

Show that for a continuous Gaussian martingale process $M$ that $\langle M, M \rangle_t = f(t)$ is continuous, monotone, and nondecreasing

State Price Density Integration - Related to Ito's lemma

X is r.v. on ($\Omega$,F,P) where $E[\left\lvert X \right\rvert^a] < \infty$. Prove $E[\left\lvert X \right\rvert^b] < \infty$ for all $0<b\le a$

Is an absorbing state necessarily recurrent?

Understanding proof that if $\rho_{xy} >0$ but $\rho_{yx}<1$, then x is transient.

Is the solution to this (simple) Stochastic Differential Equation unique?

Show that $(S_t - M_t) \phi(S_t) = \Phi(S_t) - \int_{0}^{t} \phi(S_s) dM_s$

Convolution inequality on stochastic cadlag functions

Bounding the integral of a stochastic return process

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