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From Gaussian stochastic noise to stochastic differential equation

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Simple Calculation Confusion

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Is a continuous process with finite nonzero quadratic variation a semimartingale?

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173
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Matrix valued Geometric Brownian Motion

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67
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How can I go from the most general case of jump-diffusion process to the particular one?

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263
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The closure of the elementary processes are the predictable processes

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#probability #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
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expectation of integral of power of Brownian motion

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Two-state Markov process

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#stochastic-processes #markov-chains #stochastic-calculus
43
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Expectation of $Y$ which depending on realizations of a stochastic process $X_{t_{t\geq 0}}$

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#probability #probability-theory #stochastic-processes #stochastic-calculus
31
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[Stochastics]: What is wrong with dX/X

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#stochastic-processes #stochastic-calculus #stochastic-integrals
557
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Apply Ito formula with integral functions

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805
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What does it mean that $X_T$ is a solution to a Brownian Motion driven SDE ($dX_t = ....$)?

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324
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Bond-price dynamics in the Vasicek model

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392
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Proving Two Ito Integral Idenities

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-integrals
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Showing equivalence of initial law $p_0(x,\cdot)=\delta_x$ of a transition function to $P_0f=f$

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#probability #integration #probability-theory #stochastic-calculus

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