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How to define the following stochastic integrals?

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#stochastic-processes #stochastic-calculus #stochastic-analysis
48
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How to derive the dynamic of the log forward price?

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#stochastic-processes #stochastic-calculus #brownian-motion
613
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Ito Integral Continuous Semimartingale Left Endpoint Riemann Sum

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #riemann-sum
1.2k
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Deriving Ito's Lemma (Informally)

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#partial-differential-equations #stochastic-calculus #brownian-motion #finance
274
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"Dividing" sides of stochastic differential equation

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#stochastic-calculus
80
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What is Stochastic?

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#stochastic-processes #terminology #definition #stochastic-calculus
276
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Existence of a cadlag version of a right-continuous stochastic process

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#probability #probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals
336
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Where is the Strong Markov property(SM) being used in the proof that augmented filtration of a Strong Markov process is right continuous?

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#stochastic-processes #stochastic-calculus #markov-process #stochastic-analysis #filtrations
377
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Is Girsanov the only way to change measure?

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#probability-theory #measure-theory #stochastic-processes #stochastic-calculus #finance
285
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Mean square derivative of square of WSS (wide sense stationary) Gaussian RP

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#stochastic-processes #lp-spaces #stochastic-calculus #stochastic-analysis
77
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Stochastic process over the expected time of tasting all $N$ dishes of a restaurant

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#probability #probability-theory #stochastic-processes #stochastic-calculus #markov-process
323
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How to understand time-dependence in Itô/Stochastic Calculus

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#stochastic-processes #stochastic-calculus #finance
1.1k
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Why is L2-space convergence important in the definition of the Ito integral?

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#stochastic-calculus #stochastic-integrals
45
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Characterization of a set in the augmented filtration $\mathcal{F}_t^{\mu}=\sigma(\mathcal{F}_t^X, \mathcal{N}^{\mu})$

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis #filtrations
319
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Solution of $ X_t=x+\int_0^t \sqrt{1+X_s^2}dB_s+\frac{1}{2}\int_0^t X_sds$

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#stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-differential-equations

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