List questions from stochastic-calculus

Published on 11 Apr 2026 - 22:46

26

Views

Confusion around $f(\tau) = \frac{\sin(\pi x)}{(\pi x)}$ as a covariance function for a weakly stationary process.

Published on 05 May 2026 - 1:59

179

Views

Discounted GBM being a martingale

Published on 18 Apr 2026 - 2:48

55

Views

Two methods to solve SDE yield different answers

Published on 13 Apr 2026 - 6:20

58

Views

What does this notation about quadratic variation mean? $ [X]_t= X_0+ [X]_t^c + \sum_{0\leq s \leq t} \Delta X(s)$

Published on 16 Apr 2026 - 7:46

188

Views

How can I show that $(f(X_n))_n$ is a martingale?

Published on 17 Apr 2026 - 22:18

55

Views

Discretized Brownian motion: convergence of two different versions

Published on 17 Apr 2026 - 2:43

49

Views

Is there an inverse Lamperti transformation for diffusions?

Published on 11 Apr 2026 - 16:20

115

Views

About the density in Girsanov theorem

Published on 09 Apr 2026 - 7:32

113

Views

4th moment of stochastic integral?

Published on 17 Apr 2026 - 15:45

115

Views

Sum of squares of two Ito processes

Published on 11 Apr 2026 - 11:04

160

Views

A version of Kazamaki's condition

Published on 15 Apr 2026 - 6:06

29

Views

Is the expected value of a standard normal RV to a negative exponent defined?

Published on 10 Apr 2026 - 11:32

142

Views

Solve the SDE: $dX = \cos(X)\sin^3(X)dt +\sin^2(X)dW$

Published on 18 Apr 2026 - 8:05

146

Views

Stochastic Integral with Non Random Function

Published on 11 Apr 2026 - 15:45

List Question

Change of Variables in Liouville Measure

Confusion around $f(\tau) = \frac{\sin(\pi x)}{(\pi x)}$ as a covariance function for a weakly stationary process.

Discounted GBM being a martingale

Two methods to solve SDE yield different answers

What does this notation about quadratic variation mean? $ [X]_t= X_0+ [X]_t^c + \sum_{0\leq s \leq t} \Delta X(s)$

How can I show that $(f(X_n))_n$ is a martingale?

Discretized Brownian motion: convergence of two different versions

Is there an inverse Lamperti transformation for diffusions?

About the density in Girsanov theorem

4th moment of stochastic integral?

Sum of squares of two Ito processes

A version of Kazamaki's condition

Is the expected value of a standard normal RV to a negative exponent defined?

Solve the SDE: $dX = \cos(X)\sin^3(X)dt +\sin^2(X)dW$

Stochastic Integral with Non Random Function

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