List questions from stochastic-calculus

Published on 16 Apr 2026 - 8:35

316

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Verify process is an Ito process

Published on 11 Apr 2026 - 0:56

808

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Properties of the time integral of Ito process

Published on 10 Apr 2026 - 4:56

175

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Ito's Lemma - Stochastic differential equation

Published on 14 Apr 2026 - 10:55

212

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Existence of Gaussian process

Published on 11 Apr 2026 - 10:57

162

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Pricing a call option in the Black Scholes Market - calculation steps

Published on 16 Apr 2026 - 5:21

40

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Stochastic Integral and Standard Brownian motion

Published on 12 Apr 2026 - 5:55

94

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Solving a linear backward stochastic differential equation

Published on 14 Apr 2026 - 0:08

29

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$dS_t=\mu S_t dt +\sigma S_t^{\alpha/2} d W_t$ and $Y_t=S^{2-\alpha}$, can one simulate exact paths for Y_t?

Published on 16 Apr 2026 - 11:34

478

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How to prove that the geometric distribution converges to the exponential distribution?

Published on 11 Apr 2026 - 18:42

58

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$E[(d W_t)^2] =?$

Published on 17 Apr 2026 - 2:45

68

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Integration of matrix form of Vasicek variance (Python/Matlab)

Published on 29 Apr 2026 - 19:06

106

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Is a Riccati BSDE explicitly solvable?

Published on 13 Apr 2026 - 5:10

139

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Is there a random variable which has a density but the distribution function is not differentiable?

Published on 10 Apr 2026 - 14:08

219

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Inequality on Brownian motions and Ito integrals

Published on 12 Apr 2026 - 13:15

List Question

Infinitesimal Increment of the Wiener Process (squared) - to then prove Ito integral

Verify process is an Ito process

Properties of the time integral of Ito process

Ito's Lemma - Stochastic differential equation

Existence of Gaussian process

Pricing a call option in the Black Scholes Market - calculation steps

Stochastic Integral and Standard Brownian motion

Solving a linear backward stochastic differential equation

$dS_t=\mu S_t dt +\sigma S_t^{\alpha/2} d W_t$ and $Y_t=S^{2-\alpha}$, can one simulate exact paths for Y_t?

How to prove that the geometric distribution converges to the exponential distribution?

$E[(d W_t)^2] =?$

Integration of matrix form of Vasicek variance (Python/Matlab)

Is a Riccati BSDE explicitly solvable?

Is there a random variable which has a density but the distribution function is not differentiable?

Inequality on Brownian motions and Ito integrals

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