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15
Math.TechQA.Club
2023-11-02 14:46:35
121
Views
Proof that the stochastic exponential is a local martingale
Published on
02 Nov 2023 - 14:46
#stochastic-calculus
#martingales
#stochastic-integrals
#stochastic-analysis
#stochastic-differential-equations
127
Views
How to rewrite the PDE of a CDF as a SDE of r.v?
Published on
02 Nov 2023 - 19:38
#probability-theory
#probability-distributions
#random-variables
#stochastic-calculus
#stochastic-differential-equations
71
Views
How to use Ito’s formula calculate a norm of complex function?
Published on
03 Nov 2023 - 11:08
#probability
#complex-analysis
#stochastic-calculus
#stochastic-integrals
#stochastic-differential-equations
136
Views
Transform multiplicative noise to additive noise with singular matrices
Published on
26 Mar 2026 - 19:16
#stochastic-processes
#inverse
#stochastic-differential-equations
#pseudoinverse
60
Views
How can I find a stochastic process $A_t$ s.t. $\frac{1}{S_t}=\mathcal{E}(A)_t$?
Published on
04 Nov 2023 - 6:47
#probability
#stochastic-processes
#stochastic-calculus
#stochastic-integrals
#stochastic-differential-equations
35
Views
What does it mean from a practical point of view to find a weak (or martingale) solution of a stochastic differential equation?
Published on
04 Nov 2023 - 23:44
#probability
#probability-theory
#stochastic-processes
#stochastic-differential-equations
38
Views
Cameron-Martin theorem for $C([0,\infty))$.
Published on
07 Nov 2023 - 21:54
#stochastic-processes
#stochastic-integrals
#stochastic-differential-equations
64
Views
Physical examples (and meaning) of the Ito process
Published on
08 Nov 2023 - 12:52
#stochastic-processes
#stochastic-differential-equations
81
Views
Is this integral with condition expectation well-defined?
Published on
08 Nov 2023 - 20:36
#probability
#stochastic-processes
#stochastic-calculus
#stochastic-differential-equations
43
Views
Can we apply Ito formula to quadratic variation of $C^1$ function of semimartingale?
Published on
09 Nov 2023 - 12:22
#probability
#stochastic-calculus
#stochastic-differential-equations
51
Views
Proving an estimate of SDE process under local Lipschitz continuity while the linear growth
Published on
09 Nov 2023 - 12:26
#stochastic-calculus
#brownian-motion
#stochastic-analysis
#stochastic-differential-equations
79
Views
When can the order of a Ito integral and a.s. limit be interchanged
Published on
09 Nov 2023 - 13:23
#stochastic-calculus
#stochastic-integrals
#stochastic-analysis
#stochastic-differential-equations
72
Views
Where can I find a end to end proof of the multidimensional ito formula wrt a d-dimensional Brownian motion?
Published on
09 Nov 2023 - 21:45
#reference-request
#stochastic-calculus
#book-recommendation
#stochastic-analysis
#stochastic-differential-equations
30
Views
Transformation of initial distribution via repeated applications of diffusion kernels.
Published on
28 Mar 2026 - 6:40
#markov-process
#stochastic-differential-equations
#monte-carlo
92
Views
Laplace-Beltrami operator self-adjoint in context of Markov processes and their infinitesimal generators
Published on
26 Mar 2026 - 6:31
#riemannian-geometry
#markov-process
#stochastic-differential-equations
#laplacian
#self-adjoint-operators
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