List questions from stochastic-calculus

Published on 23 Mar 2026 - 1:26

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Substitution of a random variable into a stochastic integral

Published on 25 Mar 2026 - 1:22

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Sum of two correlated geometric Brownian motions

Published on 25 Mar 2026 - 1:17

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Equivalence between a SDE and an ODE

Published on 25 Mar 2026 - 1:21

176

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how to Prove $τ=\inf\{t:B(t)=\max\limits_{0<s<1}B(s)\}$ is a random variable?where B(t) is brownian motion process

Published on 24 Mar 2026 - 22:17

308

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Given $dX_t = W_t^2dW_t$, and $Y_t= X_t^2$, is $Y_t$ a martingale?

Published on 25 Mar 2026 - 7:44

125

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Find $E(X_t)$ for 3 differentials $dX_t$

Published on 25 Mar 2026 - 1:21

86

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How would you find $Y_1$ for the stochastic integral $dY_t = -Y_t \hspace{1mm} dW_t + Y_t \hspace{1mm} dt$?

Published on 20 Mar 2018 - 12:00

140

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What conclusions can be made if an Ito process is differentiable?

Published on 25 Mar 2026 - 6:01

160

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An application of convergence of measures

Published on 25 Mar 2026 - 10:56

908

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Computing $\int_0^t B^n (s) \, dB(s)$ (stochastic integral)

Published on 25 Mar 2026 - 3:07

399

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How would the stochastic integral $\int_0^1 2W_t \hspace{1mm} dW_t$ be distributed?

Published on 24 Mar 2026 - 20:32

426

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expectation of stopped local time

Published on 25 Mar 2026 - 3:00

245

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What is the Radon-Nikodym density $dP^∗ /d P$ of the unique $P^ ∗ ∼ P$ such that the discounted price $S^*_t := S_t /B_t$ is a $P^∗$-martingale

Published on 19 Mar 2026 - 22:27

374

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Brownian Motion questions.

Published on 25 Mar 2018 - 6:25

List Question

Riemann integral of discrete white noise

Substitution of a random variable into a stochastic integral

Sum of two correlated geometric Brownian motions

Equivalence between a SDE and an ODE

how to Prove $τ=\inf\{t:B(t)=\max\limits_{0<s<1}B(s)\}$ is a random variable?where B(t) is brownian motion process

Given $dX_t = W_t^2dW_t$, and $Y_t= X_t^2$, is $Y_t$ a martingale?

Find $E(X_t)$ for 3 differentials $dX_t$

How would you find $Y_1$ for the stochastic integral $dY_t = -Y_t \hspace{1mm} dW_t + Y_t \hspace{1mm} dt$?

What conclusions can be made if an Ito process is differentiable?

An application of convergence of measures

Computing $\int_0^t B^n (s) \, dB(s)$ (stochastic integral)

How would the stochastic integral $\int_0^1 2W_t \hspace{1mm} dW_t$ be distributed?

expectation of stopped local time

What is the Radon-Nikodym density $dP^∗ /d P$ of the unique $P^ ∗ ∼ P$ such that the discounted price $S^*_t := S_t /B_t$ is a $P^∗$-martingale

Brownian Motion questions.

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