List questions from stochastic-calculus

Published on 16 Apr 2026 - 15:33

48

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find the $Var[X(t)]$, where $X(t)=\sum_{i=0}^{N(t)}Y_i$ , $N(t)$ is Poisson process and $Y_i$ is IIDRV

Published on 16 Apr 2026 - 13:14

56

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Mean of "Wiener" process squared in a stochastic differential equation

Published on 11 Apr 2026 - 23:35

123

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Quadratic variation of $e^{B_t}$ where $B_t$ is the standard brownian motion.

Published on 14 Apr 2026 - 15:34

49

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Why does $\frac{Y_1+...+Y_n-n}{\sqrt{n}}\Rightarrow Z$ implies $\Bbb{P}\left(\frac{Y_1+...+Y_n-n}{\sqrt{n}}\leq 0\right)\rightarrow \Bbb{P}(Z\leq 0)$?

Published on 16 Apr 2026 - 13:32

97

Views

Differential form for two variable function where lower and the variable are the same

Published on 25 Apr 2026 - 5:55

79

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Criterion for an integral to be a martingale

Published on 12 Apr 2026 - 0:31

140

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Brownian motion and $\mathcal{F}_t$ adapted

Published on 15 Apr 2026 - 13:29

146

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A question on conditional probability in sde

Published on 28 Apr 2026 - 8:27

65

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Analytical form of a summation

Published on 14 Apr 2026 - 7:44

216

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Brownian motion and uniform distribution

Published on 15 Apr 2026 - 3:04

100

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Couldn't understand decomposition inside derivation of option valuation using Martingale method

Published on 15 Apr 2026 - 3:06

150

Views

Partial Averaging - Information and conditioning

Published on 14 May 2026 - 10:07

261

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Non-Differentiability of Brownian motion path

Published on 11 Apr 2026 - 0:50

121

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Martingale property and conditional expectation

Published on 15 Apr 2026 - 6:16

List Question

Mean of log-normal variable when exponent is replaced by runnung maximum of Ito-integral

find the $Var[X(t)]$, where $X(t)=\sum_{i=0}^{N(t)}Y_i$ , $N(t)$ is Poisson process and $Y_i$ is IIDRV

Mean of "Wiener" process squared in a stochastic differential equation

Quadratic variation of $e^{B_t}$ where $B_t$ is the standard brownian motion.

Why does $\frac{Y_1+...+Y_n-n}{\sqrt{n}}\Rightarrow Z$ implies $\Bbb{P}\left(\frac{Y_1+...+Y_n-n}{\sqrt{n}}\leq 0\right)\rightarrow \Bbb{P}(Z\leq 0)$?

Differential form for two variable function where lower and the variable are the same

Criterion for an integral to be a martingale

Brownian motion and $\mathcal{F}_t$ adapted

A question on conditional probability in sde

Analytical form of a summation

Brownian motion and uniform distribution

Couldn't understand decomposition inside derivation of option valuation using Martingale method

Partial Averaging - Information and conditioning

Non-Differentiability of Brownian motion path

Martingale property and conditional expectation

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