List questions from stochastic-calculus

50

Views

the probability for a stochastic process $\mathbb{P}(\text{sup}_{0\leq t\leq2}X_t\geq1)$, where $X_t = \int _0^t\frac{dW_s}{\sqrt{1+s}}$

Published on 03 Oct 2019 - 21:20

264

Views

If a process is 0 up to a stopping time, then the ito integral up to the stopping time is 0.

Published on 27 Mar 2026 - 17:06

170

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A $d$-dimensional Brownian family is a Markov family.

Published on 28 Mar 2026 - 9:34

338

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Integration by parts for fractional Ornstein-Uhlenbeck process

Published on 25 Mar 2026 - 4:47

88

Views

Books or Materials on $n$-dimensional Lebesgue-Stieltjes Measure

Published on 07 Mar 2026 - 10:56

212

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Approximating stochastic integral with Euler scheme

Published on 27 Mar 2026 - 15:35

875

Views

Hitting Time Probability of Brownian Motion (Martingale Approach)

Published on 30 Mar 2026 - 13:54

48

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Brownian noise correlations

Published on 27 Mar 2026 - 17:04

305

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Quadratic variation of double Itô/deterministic integral

Published on 27 Mar 2026 - 20:31

5.8k

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Integral of square of the Brownian Motion with respect to time

Published on 27 Mar 2026 - 17:04

40

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Comparing a deterministic ODE versus its stochastic counterpart(Theory)

Published on 10 Oct 2019 - 13:21

528

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Two correlated Brownian motions

Published on 12 Oct 2019 - 1:44

150

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What is the Levy measure of $\int_0^\cdot \int_{0<|x|\le r} x \tilde N(dx,dt) + \int_0^\cdot \int_{|x|>r} x N(dx,dt)$?

Published on 26 Mar 2026 - 4:34

48

Views

Comparison of stochastic integrals

Published on 27 Mar 2026 - 17:04

77

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ODE with one random parameter(following Ornstein–Uhlenbeck process )

Published on 14 Oct 2019 - 9:00

List Question

the probability for a stochastic process $\mathbb{P}(\text{sup}_{0\leq t\leq2}X_t\geq1)$, where $X_t = \int _0^t\frac{dW_s}{\sqrt{1+s}}$

If a process is 0 up to a stopping time, then the ito integral up to the stopping time is 0.

A $d$-dimensional Brownian family is a Markov family.

Integration by parts for fractional Ornstein-Uhlenbeck process

Books or Materials on $n$-dimensional Lebesgue-Stieltjes Measure

Approximating stochastic integral with Euler scheme

Hitting Time Probability of Brownian Motion (Martingale Approach)

Brownian noise correlations

Quadratic variation of double Itô/deterministic integral

Integral of square of the Brownian Motion with respect to time

Comparing a deterministic ODE versus its stochastic counterpart(Theory)

Two correlated Brownian motions

What is the Levy measure of $\int_0^\cdot \int_{0<|x|\le r} x \tilde N(dx,dt) + \int_0^\cdot \int_{|x|>r} x N(dx,dt)$?

Comparison of stochastic integrals

ODE with one random parameter(following Ornstein–Uhlenbeck process )

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