List questions from stochastic-calculus

Published on 28 Mar 2026 - 3:00

278

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Running Maximum of Brownian motion is singularly continuous?

Published on 28 Mar 2026 - 3:02

320

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How to show that $(e^{-rt}S_t)_{t\in [0, T]}$ is a $Q$ martingale?

Published on 28 Mar 2026 - 6:31

204

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Why is $\mathbb{E}[B_t^4] = 3t^2$?

Published on 20 Jun 2019 - 5:28

117

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Ito's Lemma (Distribution of $S_t)$

Published on 20 Jun 2019 - 8:24

61

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Markov process and non-deterministic random variables

Published on 27 Mar 2026 - 10:16

49

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Simplifying a Stochastic Equation

Published on 26 Mar 2026 - 17:27

23

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Semigroup property for solution of fokker planck equation

Published on 26 Jun 2019 - 13:19

304

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How to embed random walk into Brownian Motion (Donsker's Invariance Principle)?

Published on 25 Mar 2026 - 22:03

43

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$I_T(H)$ and $\mathbb E[I(H)^3]$ for $H(t)=W(1)I_{[1,2)}(t)+W(2)I_{[3,4)}(t), t\ge 0$

Published on 26 Mar 2026 - 14:22

645

Views

Solution of SDE (regarding integrating factor)

Published on 25 Mar 2026 - 14:29

175

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Condition for which f(B_t) is a martingale

Published on 26 Mar 2026 - 14:24

84

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Expectation of discounted Indicator function under Brownian motion

Published on 26 Mar 2026 - 14:19

369

Views

Minimize the Sum of Reciprocal of Probabilities

Published on 01 Jul 2019 - 10:43

27

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Application Central Limit Theorem in Walds Confidence Intervals

Published on 01 Jul 2019 - 14:18

List Question

Conditional expectation of exponential Brownian motion

Running Maximum of Brownian motion is singularly continuous?

How to show that $(e^{-rt}S_t)_{t\in [0, T]}$ is a $Q$ martingale?

Why is $\mathbb{E}[B_t^4] = 3t^2$?

Ito's Lemma (Distribution of $S_t)$

Markov process and non-deterministic random variables

Simplifying a Stochastic Equation

Semigroup property for solution of fokker planck equation

How to embed random walk into Brownian Motion (Donsker's Invariance Principle)?

$I_T(H)$ and $\mathbb E[I(H)^3]$ for $H(t)=W(1)I_{[1,2)}(t)+W(2)I_{[3,4)}(t), t\ge 0$

Solution of SDE (regarding integrating factor)

Condition for which f(B_t) is a martingale

Expectation of discounted Indicator function under Brownian motion

Minimize the Sum of Reciprocal of Probabilities

Application Central Limit Theorem in Walds Confidence Intervals

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