List questions from stochastic-calculus

Published on 28 Nov 2019 - 21:16

64

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How to realize Brownian motion in real life?

Published on 29 Nov 2019 - 9:29

42

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Is it true that difference of independent events independent?

Published on 30 Nov 2019 - 10:19

62

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Given $0\leq s <t,$ why is $E[(W(t)-W(s))^2 |F(s)] = E[(W(t)-W(s))^2]?$

Published on 30 Mar 2026 - 15:05

18

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Sum of Martingale Bounds

Published on 30 Nov 2019 - 18:20

54

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How to prove that $\lim_{n\to\infty} \mathbb{E}\int_0^T|\Delta_n(t) -W(t)|^2dt = 0?$

Published on 01 Dec 2019 - 2:54

270

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Martingale representation of European option.

Published on 27 Mar 2026 - 10:03

110

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Solving $Y_t$ = $e^{-\alpha t}X_t$ using Ito's lemma

Published on 23 Feb 2026 - 2:53

395

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$C^1$ functions of continuous semimartingale

Published on 01 Dec 2019 - 18:06

126

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Ornstein–Uhlenbeck process with additional diminishing drift

Published on 27 Mar 2026 - 20:30

72

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Probability about hitting time of Brownian motion

Published on 02 Dec 2019 - 2:10

134

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Burkholder-David-Gundy ineq. with conditional expectation?

Published on 26 Mar 2026 - 17:30

105

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Find BlackScholes PDE $\frac{\partial C}{\partial t} + rS\frac{\partial C}{\partial S} + \frac{1}{2}\sigma^2S^2\frac{\partial^2 C}{\partial S^2}=rC$

Published on 27 Mar 2026 - 23:32

419

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Minimum of the Brownian motion

Published on 03 Dec 2019 - 10:37

355

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Relation between Infinitesimal Generator of Ito Difussion and Ito's Formula

Published on 28 Mar 2026 - 8:51

List Question

Length of BM Path till time t

How to realize Brownian motion in real life?

Is it true that difference of independent events independent?

Given $0\leq s <t,$ why is $E[(W(t)-W(s))^2 |F(s)] = E[(W(t)-W(s))^2]?$

Sum of Martingale Bounds

How to prove that $\lim_{n\to\infty} \mathbb{E}\int_0^T|\Delta_n(t) -W(t)|^2dt = 0?$

Martingale representation of European option.

Solving $Y_t$ = $e^{-\alpha t}X_t$ using Ito's lemma

$C^1$ functions of continuous semimartingale

Ornstein–Uhlenbeck process with additional diminishing drift

Probability about hitting time of Brownian motion

Burkholder-David-Gundy ineq. with conditional expectation?

Find BlackScholes PDE $\frac{\partial C}{\partial t} + rS\frac{\partial C}{\partial S} + \frac{1}{2}\sigma^2S^2\frac{\partial^2 C}{\partial S^2}=rC$

Minimum of the Brownian motion

Relation between Infinitesimal Generator of Ito Difussion and Ito's Formula

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