List questions from stochastic-calculus

Published on 18 Apr 2026 - 13:42

34

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Calculating different expected values of a normal distribution

Published on 14 Apr 2026 - 19:17

63

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How to construct a martingale with given covariation?

Published on 12 Apr 2026 - 0:24

88

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Existence Uniqueness theorem for SDEs

Published on 11 Apr 2026 - 14:42

125

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Hamilton-Jacobi-Bellman equation for Levy processes

Published on 11 May 2026 - 8:52

157

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Ito lemma for three Brownian motions

Published on 12 Apr 2026 - 4:56

171

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What is the distribution of $\int_0^t e^{(W_s-s/2)}ds$

Published on 15 Apr 2026 - 12:01

220

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Is this a convention? Correlated Brownian Motions in SDE

Published on 14 Apr 2026 - 5:33

44

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Brownian motion integral computation

Published on 13 Apr 2026 - 17:21

52

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Is the expected payoff function of a diffusion process of the class of $C^1$

Published on 12 Apr 2026 - 17:00

78

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We want to attempt to define $\int_{S}^{T}f(t, \omega)dB_{t}(\omega)$ where > $B_{t}(\omega)$ denotes 1-dimensional Brownian motion.

Published on 15 Apr 2026 - 22:45

158

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How can I show that the stopping time $T=\min\{n\geq 0: S_n=1\}<\infty$?

Published on 12 Apr 2026 - 23:06

127

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Quadratic variation process of some transformation of the Wiener process

Published on 11 Apr 2026 - 16:10

59

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How can I show that $\bigcap_{n\geq 0} \sigma(X_n,X_{n+1}...)=\sigma(X)$?

Published on 15 Apr 2026 - 2:56

97

Views

Expectation of stock price that follows a stochastic differential equation

Published on 13 Apr 2026 - 14:39

List Question

Why can you simplify $E[\int_s^t X_u du |F_s] = X_s \int_s^t du$?

Calculating different expected values of a normal distribution

How to construct a martingale with given covariation?

Existence Uniqueness theorem for SDEs

Hamilton-Jacobi-Bellman equation for Levy processes

Ito lemma for three Brownian motions

What is the distribution of $\int_0^t e^{(W_s-s/2)}ds$

Is this a convention? Correlated Brownian Motions in SDE

Brownian motion integral computation

Is the expected payoff function of a diffusion process of the class of $C^1$

We want to attempt to define $\int_{S}^{T}f(t, \omega)dB_{t}(\omega)$ where > $B_{t}(\omega)$ denotes 1-dimensional Brownian motion.

How can I show that the stopping time $T=\min\{n\geq 0: S_n=1\}<\infty$?

Quadratic variation process of some transformation of the Wiener process

How can I show that $\bigcap_{n\geq 0} \sigma(X_n,X_{n+1}...)=\sigma(X)$?

Expectation of stock price that follows a stochastic differential equation

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