List questions from stochastic-calculus

Published on 08 Apr 2026 - 21:04

71

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Weak solution of SDE with tanh drift

Published on 12 Apr 2026 - 11:43

139

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Prove that $V(t)=e^{-r(T-t)} \mathbb E\left[S_{t}\right]$ satisfies the Black–Scholes PDE

Published on 17 Apr 2026 - 9:50

37

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Limit of probabilities under equivalent measure

Published on 11 Apr 2026 - 1:34

163

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Is the distribution of the maximum of 3D Bessel Bridge same as the distribution of the maximum of 1D Brownian Excursion?

Published on 05 May 2026 - 10:03

51

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another form of $L^p$ norm $\|X\|^p_p=p\int^{\infty}_0\lambda^{p-1}\mathbb{P}(X\geq\lambda)d\lambda$

Published on 15 Apr 2026 - 18:01

104

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Use Itō isometry to calculate $\mathbb{E}X_{t}^{2}$, where $X_{t}= \int_{0}^{t}B_{s}{\boldsymbol d}B_{s}$

Published on 16 Apr 2026 - 0:42

277

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Question on Freezing lemma

Published on 11 Apr 2026 - 21:37

70

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Probability in the Brownian process

Published on 10 Apr 2026 - 18:55

103

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Tough integral to recover Ornstein-Uhlenbeck solution.

Published on 10 Apr 2026 - 15:01

33

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martingale proposition-more lated to conditional expectation-looking for details operations

Published on 15 Apr 2026 - 12:51

69

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Ito isometry under characteristic function

Published on 12 Apr 2026 - 1:00

109

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Prove discrete Markov chain $x_i = \sqrt{1-\beta_i} x_{i-1} + \sqrt{\beta_i} z_{i-1}$ converges to $dx=-\frac{1}{2}\beta(t)xdt + \sqrt{\beta(t)} dw$.

Published on 17 Apr 2026 - 4:27

94

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Expectation of the exponential of the amount of time a Brownian motion spent in half space

Published on 05 May 2026 - 11:07

113

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Stochastic integration by parts problem

Published on 10 Apr 2026 - 18:31

List Question

Feymann Kac formula to solve Pde

Weak solution of SDE with tanh drift

Prove that $V(t)=e^{-r(T-t)} \mathbb E\left[S_{t}\right]$ satisfies the Black–Scholes PDE

Limit of probabilities under equivalent measure

Is the distribution of the maximum of 3D Bessel Bridge same as the distribution of the maximum of 1D Brownian Excursion?

another form of $L^p$ norm $\|X\|^p_p=p\int^{\infty}_0\lambda^{p-1}\mathbb{P}(X\geq\lambda)d\lambda$

Use Itō isometry to calculate $\mathbb{E}X_{t}^{2}$, where $X_{t}= \int_{0}^{t}B_{s}{\boldsymbol d}B_{s}$

Question on Freezing lemma

Probability in the Brownian process

Tough integral to recover Ornstein-Uhlenbeck solution.

martingale proposition-more lated to conditional expectation-looking for details operations

Ito isometry under characteristic function

Prove discrete Markov chain $x_i = \sqrt{1-\beta_i} x_{i-1} + \sqrt{\beta_i} z_{i-1}$ converges to $dx=-\frac{1}{2}\beta(t)xdt + \sqrt{\beta(t)} dw$.

Expectation of the exponential of the amount of time a Brownian motion spent in half space

Stochastic integration by parts problem

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