List questions from stochastic-calculus

Published on 10 Apr 2026 - 5:31

90

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Show that $\mathbb{E}(X|\mathcal{F}_t)$ is a square-integrable martingale

Published on 16 Apr 2026 - 10:24

761

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Stochastic Differential Equation after a Change in the Time Parameter

Published on 09 Apr 2026 - 6:56

92

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How do I prove that the distribution of $x_t$ in $x_t=x_{t-1}e^{-μt}+ θ(1-e^{-μΔt}) + \int_{t-1}^t e^{-μ(t-s)}\sigma dB_s $ is a normal distribution?

Published on 16 Apr 2026 - 11:31

52

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A family of probability measures satisfying an integral equation

Published on 11 Apr 2026 - 11:53

101

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Integrating factor and homogeneous equation for SDEs.

Published on 11 Apr 2026 - 23:08

217

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Finding a weak solution to an SDE

Published on 11 Apr 2026 - 11:06

143

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Expectation of product of brownian motion and stochastic integral

Published on 12 Apr 2026 - 14:19

109

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Finding a change of measure so that rescaled local martingale is a local martingale

Published on 14 Apr 2026 - 15:28

352

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Using SDE uniqueness in law to show that two processes have the same distribution

Published on 13 Apr 2026 - 23:23

91

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Black-Scholes Model for options pricing

Published on 12 Apr 2026 - 15:10

778

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Are characteristic functions always differentiable?

Published on 13 Apr 2026 - 12:58

143

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How do I prove that the weak law of large numbers holds?

Published on 08 Apr 2026 - 21:27

207

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Exercise 3.13 Paolo Baldi stochastic calculus: bounds on Brownian motion

Published on 14 Apr 2026 - 22:22

97

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Can I get the following estimate for a family of solutions of SDE's?

Published on 12 Apr 2026 - 18:56

List Question

Question about Ito formula and BSDE

Show that $\mathbb{E}(X|\mathcal{F}_t)$ is a square-integrable martingale

Stochastic Differential Equation after a Change in the Time Parameter

How do I prove that the distribution of $x_t$ in $x_t=x_{t-1}e^{-μt}+ θ(1-e^{-μΔt}) + \int_{t-1}^t e^{-μ(t-s)}\sigma dB_s $ is a normal distribution?

A family of probability measures satisfying an integral equation

Integrating factor and homogeneous equation for SDEs.

Finding a weak solution to an SDE

Expectation of product of brownian motion and stochastic integral

Finding a change of measure so that rescaled local martingale is a local martingale

Using SDE uniqueness in law to show that two processes have the same distribution

Black-Scholes Model for options pricing

Are characteristic functions always differentiable?

How do I prove that the weak law of large numbers holds?

Exercise 3.13 Paolo Baldi stochastic calculus: bounds on Brownian motion

Can I get the following estimate for a family of solutions of SDE's?

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