List questions from stochastic-calculus

Published on 19 Nov 2014 - 15:39

513

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Usual augmentation filtration? (Sigma algebra generated by a descreasing family of sets)?

Published on 19 Nov 2014 - 23:36

66

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Why are these processes indistinguishable?

Published on 23 Nov 2014 - 11:36

3.8k

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show that the solution is a local martingale iff it has zero drift

Published on 30 Mar 2026 - 1:28

96

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When does $\int_0^t dX_s = X_t-X_0$ hold for a stochastic process?

Published on 25 Nov 2014 - 0:11

88

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Inequality of an expectation (here: perpetual put of an american option)

Published on 27 Mar 2026 - 21:03

341

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Requirements for square integrable in the Doob-Meyer-Decomposition

Published on 27 Nov 2014 - 9:37

57

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higher moments of a r.v., combinatorical problem

Published on 28 Nov 2014 - 15:43

977

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Quadratic covariation of Martingales

Published on 30 Mar 2026 - 3:21

133

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Definition of Itô process

Published on 29 Nov 2014 - 2:04

892

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Change of measure on Brownian motion

Published on 30 Mar 2026 - 5:13

2.1k

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Approximation of stochastic integrals by Riemann sums

Published on 27 Mar 2026 - 23:00

117

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deterministic expression of stochastic integral

Published on 30 Mar 2026 - 3:17

591

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conditional expectation of some solution of SDE

Published on 25 Mar 2026 - 22:03

107

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Challenging CDF of $\sup_t|B_t|$ ($B_t$ is a Brownian Bridge)

Published on 30 Nov 2014 - 20:25

List Question

Finding mean and variance of stochastic process

Usual augmentation filtration? (Sigma algebra generated by a descreasing family of sets)?

Why are these processes indistinguishable?

show that the solution is a local martingale iff it has zero drift

When does $\int_0^t dX_s = X_t-X_0$ hold for a stochastic process?

Inequality of an expectation (here: perpetual put of an american option)

Requirements for square integrable in the Doob-Meyer-Decomposition

higher moments of a r.v., combinatorical problem

Quadratic covariation of Martingales

Definition of Itô process

Change of measure on Brownian motion

Approximation of stochastic integrals by Riemann sums

deterministic expression of stochastic integral

conditional expectation of some solution of SDE

Challenging CDF of $\sup_t|B_t|$ ($B_t$ is a Brownian Bridge)

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