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SDE's driven by compound Cox processes and their compensated versions

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#probability-theory #stochastic-processes #stochastic-calculus
110
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how does the mean of a measure of independent geometric brownian motions evolve?

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#stochastic-calculus #stochastic-analysis #stochastic-differential-equations
190
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Cross Variation of Ito Integral with $L^2$ bounded continuous martingale

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #quadratic-variation
176
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A function of brownian motion is a martingale

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#stochastic-calculus #stochastic-analysis
159
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Donsker Theorem like result for sum of Sums

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#probability-theory #stochastic-processes #stochastic-calculus
66
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Right quadratic variation for stochastic process

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#probability #probability-theory #stochastic-processes #stochastic-calculus
49
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Risk counter example

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#real-analysis #inequality #examples-counterexamples #stochastic-calculus #density-function
71
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Numerical Solution of an SDE in the long time limit. ( Reference?) Stability?

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#real-analysis #stochastic-processes #numerical-methods #stochastic-calculus #stationary-processes
57
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Is the following process a martingale?

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#stochastic-processes #stochastic-calculus #brownian-motion #martingales #stochastic-analysis
77
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Does a Stochastic process integrated over the time has to be adapted?

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#stochastic-calculus
40
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Writing down the proof of Proposition 1.1(ii)(1.12) in Ikeda and Watanabe

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#convergence-divergence #stochastic-calculus #conditional-expectation #stochastic-integrals #stochastic-analysis
77
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Integrating wrt a stochastic process

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals
47
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$X_{t} - X_{s}$ independent of $\mathcal{F}^{X}_{s}$ for $0 \leq s < t$.

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#probability-theory #stochastic-processes #stochastic-calculus #self-learning
101
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Optimal Leverage with Options

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#probability-distributions #stochastic-calculus #finance #optimal-control
49
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How can we interpret the equality in the following example from stochastic calculus?

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#limits #measure-theory #stochastic-processes #stochastic-calculus #brownian-motion

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