List questions from stochastic-calculus

Published on 14 Dec 2014 - 10:32

58

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Density of $\int_{0}^{t}W'(B_{s})ds$ where $W'$ is smooth and compactly supported.

Published on 30 Mar 2026 - 7:09

28

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Solution of $dX_{t}=(sin(X_{t})+2)dB_{t}$

Published on 30 Mar 2026 - 12:45

697

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Is the distribution of an Ito diffusion at time t absolutely continuous wrt Lebesgue measure?

Published on 28 Mar 2026 - 2:05

667

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The smallest filtration for which a sequence of random variables is adapted

Published on 17 Dec 2014 - 19:17

1.4k

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Solve the SDE $dX_t = \frac{1}{2 X_t} dt + dB_t$

Published on 25 Mar 2026 - 22:04

826

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What is the explicit obstruction to almost sure convergence in stochastic integrals?

Published on 27 Mar 2026 - 17:06

174

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ratio of two functions of finite variation

Published on 24 Dec 2014 - 23:24

25

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A problem on Ito integral

Published on 27 Mar 2026 - 15:35

83

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Is this stochastic differential equation wrong?

Published on 30 Mar 2026 - 12:12

47

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Clarifications about SDEs, Differentials & Derivatives

Published on 25 Mar 2026 - 22:09

196

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Covariance of Wiener Processes on the same Brownian Motion

Published on 27 Mar 2026 - 15:36

85

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Conditional likelihood of continuously-combounded returns

Published on 28 Mar 2026 - 0:06

91

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How to derive this step in a book called Brownian motion calculus?

Published on 02 Jan 2015 - 22:33

200

Views

Is expectation of an Ito integral always 0, regardless of the limits?

Published on 27 Mar 2026 - 17:04

List Question

Compute almost sure limit of martingale?

Density of $\int_{0}^{t}W'(B_{s})ds$ where $W'$ is smooth and compactly supported.

Solution of $dX_{t}=(sin(X_{t})+2)dB_{t}$

Is the distribution of an Ito diffusion at time t absolutely continuous wrt Lebesgue measure?

The smallest filtration for which a sequence of random variables is adapted

Solve the SDE $dX_t = \frac{1}{2 X_t} dt + dB_t$

What is the explicit obstruction to almost sure convergence in stochastic integrals?

ratio of two functions of finite variation

A problem on Ito integral

Is this stochastic differential equation wrong?

Clarifications about SDEs, Differentials & Derivatives

Covariance of Wiener Processes on the same Brownian Motion

Conditional likelihood of continuously-combounded returns

How to derive this step in a book called Brownian motion calculus?

Is expectation of an Ito integral always 0, regardless of the limits?

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