List questions from stochastic-calculus

Published on 13 Apr 2026 - 18:46

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Random time change from Oksendal's SDE textbook

Published on 14 Apr 2026 - 18:29

74

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Level reaching of a Brownian bridge

Published on 10 Apr 2026 - 21:25

427

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Understanding total, quadratic, and $\Phi$ variation of functions

Published on 12 Apr 2026 - 15:20

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Definition of Stratonovich Integral

Published on 10 Apr 2026 - 15:02

338

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SDE for $Y_t = \frac{1}{Z_t}$ where $Z_t =\exp \left(\int_0^t X_u \, dW_u-\frac{1}{2}\int_0^t X^2_u \, du \right)$

Published on 30 Apr 2026 - 7:16

73

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Why can we change the differentials?(Brownian stochastic integrals)

Published on 14 Apr 2026 - 5:04

145

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How to calculate $\mathbb{E}\left(\varPhi^{2}\left(\frac{W_{s}}{\sqrt{1-s}}\right)\right)$?

Published on 13 Apr 2026 - 22:02

122

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Proving associativity for a certain stochastic integral.

Published on 11 Apr 2026 - 2:35

374

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Change of measure and Girsanov's Theorem: Do the following models admit arbitrage and are they complete?

Published on 14 Apr 2026 - 19:02

26

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Maximal Inequality for a triangular array of negatively correlated (or even associated) random variables

Published on 16 Apr 2026 - 0:05

51

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Expected semi-perimeter in Mondrian tessellation process

Published on 08 Apr 2026 - 21:02

104

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Can a negative local martingale start from 0?

Published on 12 Apr 2026 - 23:11

129

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Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Published on 17 Apr 2026 - 12:00

378

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Generalised Ornstein-Uhlenbeck process driven again by OU-process

Published on 12 Apr 2026 - 23:56

List Question

Density of invariant measure of stochastic differential equation

Random time change from Oksendal's SDE textbook

Level reaching of a Brownian bridge

Understanding total, quadratic, and $\Phi$ variation of functions

Definition of Stratonovich Integral

SDE for $Y_t = \frac{1}{Z_t}$ where $Z_t =\exp \left(\int_0^t X_u \, dW_u-\frac{1}{2}\int_0^t X^2_u \, du \right)$

Why can we change the differentials?(Brownian stochastic integrals)

How to calculate $\mathbb{E}\left(\varPhi^{2}\left(\frac{W_{s}}{\sqrt{1-s}}\right)\right)$?

Proving associativity for a certain stochastic integral.

Change of measure and Girsanov's Theorem: Do the following models admit arbitrage and are they complete?

Maximal Inequality for a triangular array of negatively correlated (or even associated) random variables

Expected semi-perimeter in Mondrian tessellation process

Can a negative local martingale start from 0?

Existence and uniqueness of the solution to $dX_{t}=\left(2\chi_{\left\{ X_{t}>0\right\} }-1\right)\cos X_{t}dt+\cos X_{t}dW_{t}$

Generalised Ornstein-Uhlenbeck process driven again by OU-process

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