List questions from stochastic-integrals

Published on 02 Feb 2014 - 15:29

93

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Proof that the image of an Itō integral is convex if the driving Wiener process is in a metric ball

Published on 05 Feb 2014 - 1:46

240

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Limit of stochastic integrals?

Published on 05 Feb 2014 - 10:49

3.4k

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Prove that integral is a Gaussian random variable, compute its mean and variance

Published on 05 Feb 2014 - 10:53

930

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Oksendal SDE book mistake?

Published on 09 Feb 2014 - 20:48

640

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Expectation of a stochastic integral

Published on 12 Feb 2014 - 23:59

170

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Estimation of a Ito's semi-martingale linear functional

Published on 01 Apr 2026 - 2:48

48

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Evaluation of $\mathbb E[\int _{t_1} ^{t_2} f(s, X_s^{t,x} )ds \mid \mathcal F _{t_1} ]$ for a markovian SDE solution.

Published on 24 Feb 2014 - 15:42

542

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Conditional expectation brownian motion

Published on 27 Feb 2014 - 10:17

156

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Clarification in stochastic integration

Published on 27 Feb 2014 - 22:00

256

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lower bounds for a stochastic integral

Published on 28 Feb 2014 - 23:55

41

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Show that $\mathbb{E}\{\int_U^T g(s)dB(s)\mid \mathcal{F}_U\} = 0$

Published on 01 Mar 2014 - 4:30

408

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Is any FV-Process a special Semimartingale?

Published on 01 Mar 2014 - 9:57

262

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Computation of a simple stochastic integral

Published on 01 Mar 2014 - 10:41

377

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Differential of the integral of a stochastic process

Published on 01 Mar 2014 - 17:47

List Question

Show that process satisfy given equation

Proof that the image of an Itō integral is convex if the driving Wiener process is in a metric ball

Limit of stochastic integrals?

Prove that integral is a Gaussian random variable, compute its mean and variance

Oksendal SDE book mistake?

Expectation of a stochastic integral

Estimation of a Ito's semi-martingale linear functional

Evaluation of $\mathbb E[\int _{t_1} ^{t_2} f(s, X_s^{t,x} )ds \mid \mathcal F _{t_1} ]$ for a markovian SDE solution.

Conditional expectation brownian motion

Clarification in stochastic integration

lower bounds for a stochastic integral

Show that $\mathbb{E}\{\int_U^T g(s)dB(s)\mid \mathcal{F}_U\} = 0$

Is any FV-Process a special Semimartingale?

Computation of a simple stochastic integral

Differential of the integral of a stochastic process

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