List questions from stochastic-calculus

Published on 05 Jan 2020 - 13:47

41

Views

What is the correlation between $2$ Brownian motions at time $t_1$ and $t_2?$ Assume that they are jointly normal with correlation $\rho.$

Published on 05 Jan 2020 - 15:15

312

Views

how to compute the cross variation process here?

Published on 26 Mar 2026 - 4:29

97

Views

show that $\mathbb{E}\left(B_{1}^{2 n}\right)=(2 n-1) \mathbb{E}\left(B_{1}^{2 n-2}\right) $ using Ito's calculus

Published on 27 Mar 2026 - 23:48

47

Views

Multivariate Normal Density. Integral Equation

Published on 05 Jan 2020 - 23:25

422

Views

Is Ito's lemma also valid with stopped integrals?

Published on 27 Mar 2026 - 2:50

158

Views

Strict stationarity of GARCH(1,1)

Published on 06 Jan 2020 - 12:51

153

Views

Evaluation of expectation of integral with random variable in its bound

Published on 27 Mar 2026 - 23:48

33

Views

Centre the solution of an SDE

Published on 25 Mar 2026 - 11:22

73

Views

Fokker-Planck counterpart of Grönwall inequality/comparison theorem

Published on 27 Mar 2026 - 4:23

147

Views

How to compare pathwise convergence and convergence in probability.

Published on 28 Mar 2026 - 12:13

132

Views

Which elements are contained in an infinite product space?

Published on 25 Mar 2026 - 12:55

216

Views

The fact that $(dB_t)^2=dt$ is it a convention notation, or it can be proved rigorously?

Published on 08 Jan 2020 - 10:53

573

Views

Reltationship between time inhomogeneity of Ito Diffusion and Strong Markov Property

Published on 28 Mar 2026 - 21:34

89

Views

Differential equation to Ito equation

Published on 26 Mar 2026 - 4:29

List Question

What is $P(B_1 > 0, B_2 > 0)$ , where $B_t$ is a Brownian Motion at time $t$?

What is the correlation between $2$ Brownian motions at time $t_1$ and $t_2?$ Assume that they are jointly normal with correlation $\rho.$

how to compute the cross variation process here?

show that $\mathbb{E}\left(B_{1}^{2 n}\right)=(2 n-1) \mathbb{E}\left(B_{1}^{2 n-2}\right) $ using Ito's calculus

Multivariate Normal Density. Integral Equation

Is Ito's lemma also valid with stopped integrals?

Strict stationarity of GARCH(1,1)

Evaluation of expectation of integral with random variable in its bound

Centre the solution of an SDE

Fokker-Planck counterpart of Grönwall inequality/comparison theorem

How to compare pathwise convergence and convergence in probability.

Which elements are contained in an infinite product space?

The fact that $(dB_t)^2=dt$ is it a convention notation, or it can be proved rigorously?

Reltationship between time inhomogeneity of Ito Diffusion and Strong Markov Property

Differential equation to Ito equation

Trending Questions

Popular # Hahtags

Popular Questions