List questions from stochastic-calculus

Published on 15 Apr 2026 - 16:18

45

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Why do they get $dX_{t} = -\frac{V_{t}^{2}}{2}dt+\sqrt{V_{t}}(\rho dW_{t}+\sqrt{1-\rho^{2}}dW_{t}^{\perp})$

Published on 15 Apr 2026 - 23:46

160

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Pushforward of a measure under a given flow

Published on 12 Apr 2026 - 23:15

149

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Value of the $\limsup$ of a brownian motion

Published on 04 May 2026 - 17:22

106

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How to evaluate this inequality in a priori estimate of strong solution of SDEs

Published on 12 Apr 2026 - 0:25

84

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$\{\omega \ge \tau\} \in \mathscr{F}_{\tau -}$ for stopping times

Published on 14 Apr 2026 - 18:46

199

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Is the supremum of a right continuous process right continuous? Defining a stopping time as the first hitting time of a supremum process

Published on 17 Apr 2026 - 12:57

302

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Definition of optional sigma algebra require the left hand limit or just right continuous adapted processes?

Published on 16 Apr 2026 - 7:56

318

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Stochastic integral change of variable.

Published on 13 Apr 2026 - 21:41

81

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Is $\int_0^T\Delta_t^2(\omega)dt$ a Riemann integral or an Itô integral?

Published on 15 Apr 2026 - 12:27

376

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Why is the supremum of the sequence of running maximum of cadlag processes also cadlag?

Published on 15 Apr 2026 - 13:24

128

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Approximation of jump times of cadlag adapted processes by stopping times running over rationals

Published on 11 Apr 2026 - 20:28

108

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Malliavin derivative wrt time changed Brownian motion

Published on 11 Apr 2026 - 8:56

200

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On the proof that a predictable stopping time is a hitting time of a continuous adapted process

Published on 17 Apr 2026 - 6:08

44

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Stochastic Differential equations for random loads

Published on 12 Apr 2026 - 11:21

List Question

Add a deterministic function to a stochastic process in order to get a martingale

Why do they get $dX_{t} = -\frac{V_{t}^{2}}{2}dt+\sqrt{V_{t}}(\rho dW_{t}+\sqrt{1-\rho^{2}}dW_{t}^{\perp})$

Pushforward of a measure under a given flow

Value of the $\limsup$ of a brownian motion

How to evaluate this inequality in a priori estimate of strong solution of SDEs

$\{\omega \ge \tau\} \in \mathscr{F}_{\tau -}$ for stopping times

Is the supremum of a right continuous process right continuous? Defining a stopping time as the first hitting time of a supremum process

Definition of optional sigma algebra require the left hand limit or just right continuous adapted processes?

Stochastic integral change of variable.

Is $\int_0^T\Delta_t^2(\omega)dt$ a Riemann integral or an Itô integral?

Why is the supremum of the sequence of running maximum of cadlag processes also cadlag?

Approximation of jump times of cadlag adapted processes by stopping times running over rationals

Malliavin derivative wrt time changed Brownian motion

On the proof that a predictable stopping time is a hitting time of a continuous adapted process

Stochastic Differential equations for random loads

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