List questions from stochastic-calculus

Published on 04 May 2026 - 20:37

103

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Expectation of a squared Ito integral

Published on 04 May 2026 - 20:37

260

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Martingale derived from Radon-Nikodym derivative - why is the supremum of the martingale finite?

Published on 15 Apr 2026 - 5:00

23

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For a positive cadlag process $U$ and local martingale $X$, why is $\int U^{-1}d[U,X]$ a finite variation process?

Published on 13 Apr 2026 - 23:27

634

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Stochastic Processes: Measurable vs Progressively Measurable

Published on 14 Apr 2026 - 17:21

50

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Properties of a SDE

Published on 08 Apr 2026 - 9:19

44

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Question on monotone converge for locally integrable functions to extend Ito's lemma

Published on 17 Apr 2026 - 17:43

93

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Peano's theorem for SDEs

Published on 10 Apr 2026 - 21:13

82

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Confusion Regarding Stochastic Product Rule and Predictable Cross Variation

Published on 13 Apr 2026 - 15:03

23

Views

Applying Ito's lemma on $E[U \exp(i\sum_j \int_0^\infty \alpha^j dB^j)|\mathcal{F}_t]$ on the natural filtration of Brownian motion

Published on 15 Apr 2026 - 13:01

138

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A question about Ito formula

Published on 09 Apr 2026 - 2:43

154

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applying Ito's lemma to complex logarithm

Published on 11 Apr 2026 - 4:28

322

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Question on the proof that jump times of a Poisson process are totally inaccessible

Published on 12 Apr 2026 - 22:40

28

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How to get $d\left(\sum_{i=1}^n X_i^2(t)\right)$ from Ito's formula for Brownian motion?

Published on 14 Apr 2026 - 8:34

33

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How to get $ E[\int_0^{t\land T_n}\frac{\partial u}{\partial x_i}(B_s)dB_i(s)]=0 $?

Published on 14 Apr 2026 - 23:54

List Question

Law of the iterated logarithm of a Brownian motion in $\mathbb{R}^q$

Expectation of a squared Ito integral

Martingale derived from Radon-Nikodym derivative - why is the supremum of the martingale finite?

For a positive cadlag process $U$ and local martingale $X$, why is $\int U^{-1}d[U,X]$ a finite variation process?

Stochastic Processes: Measurable vs Progressively Measurable

Properties of a SDE

Question on monotone converge for locally integrable functions to extend Ito's lemma

Peano's theorem for SDEs

Confusion Regarding Stochastic Product Rule and Predictable Cross Variation

Applying Ito's lemma on $E[U \exp(i\sum_j \int_0^\infty \alpha^j dB^j)|\mathcal{F}_t]$ on the natural filtration of Brownian motion

A question about Ito formula

applying Ito's lemma to complex logarithm

Question on the proof that jump times of a Poisson process are totally inaccessible

How to get $d\left(\sum_{i=1}^n X_i^2(t)\right)$ from Ito's formula for Brownian motion?

How to get $ E[\int_0^{t\land T_n}\frac{\partial u}{\partial x_i}(B_s)dB_i(s)]=0 $?

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