List questions from stochastic-calculus

124

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Given a prob measure P and a P-UI martingale $\{ \rho_t \}$ define $Q \sim P$ s.t. $E[\frac{dQ}{dP}|\mathscr{F}_t]=\rho_t$

Published on 28 Mar 2026 - 12:14

155

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Brownian Motion generator applied on indicator function.

Published on 28 Mar 2026 - 10:36

415

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Ito's formula applied on Brownian motion

Published on 14 Dec 2019 - 13:27

292

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Ito representation

Published on 27 Mar 2026 - 22:11

1.1k

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Fubini's Theorem on Ito's integral?

Published on 15 Dec 2019 - 13:21

57

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What are the conditions for a data to be represented by GBM?

Published on 28 Mar 2026 - 0:35

57

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Ito Integral using Martingale Property $\int_0^t X_sdX_s$

Published on 28 Mar 2026 - 10:40

127

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What sort of qualitative behaviour does a stock following a process of the form $dS_t=α(μ-S_t )dt+S_t \sigma dW_t$ exhibit?

Published on 26 Mar 2026 - 4:35

65

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Moments of Multivariate SDEs

Published on 26 Mar 2026 - 6:13

56

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Discritization Error Diffusion Process

Published on 25 Mar 2026 - 11:23

83

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Entry Probability of a Diffusion Process

Published on 18 Dec 2019 - 18:30

272

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Pathwise bound for Ito integral

Published on 30 Mar 2026 - 23:19

63

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If we have $(\Omega, \mathscr{F}, P)$ and a filtration $\{\mathscr{F}_t^W; 0 \leq t \leq T\},$ how can we justify that $\mathscr{F} = \mathscr{F}_T$?

Published on 26 Mar 2026 - 2:56

55

Views

Modelling foreign exchange

Published on 28 Mar 2026 - 8:47

243

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Stochastic Differential Equation for a reflected Brownian motion

Published on 21 Dec 2019 - 0:50

List Question

Given a prob measure P and a P-UI martingale $\{ \rho_t \}$ define $Q \sim P$ s.t. $E[\frac{dQ}{dP}|\mathscr{F}_t]=\rho_t$

Brownian Motion generator applied on indicator function.

Ito's formula applied on Brownian motion

Ito representation

Fubini's Theorem on Ito's integral?

What are the conditions for a data to be represented by GBM?

Ito Integral using Martingale Property $\int_0^t X_sdX_s$

What sort of qualitative behaviour does a stock following a process of the form $dS_t=α(μ-S_t )dt+S_t \sigma dW_t$ exhibit?

Moments of Multivariate SDEs

Discritization Error Diffusion Process

Entry Probability of a Diffusion Process

Pathwise bound for Ito integral

If we have $(\Omega, \mathscr{F}, P)$ and a filtration $\{\mathscr{F}_t^W; 0 \leq t \leq T\},$ how can we justify that $\mathscr{F} = \mathscr{F}_T$?

Modelling foreign exchange

Stochastic Differential Equation for a reflected Brownian motion

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