List questions from stochastic-integrals

Published on 04 Mar 2014 - 18:54

522

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Expected value of stopping time of Stochastic Process.

Published on 07 Mar 2014 - 6:39

76

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Stochastic Integrals and Martingales

Published on 07 Mar 2014 - 9:58

91

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If two stochastic integrands are equal on some measurable set, will the stochastic integrals be equal on that set?

Published on 10 Mar 2014 - 14:00

115

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$\int_t^T 1_C\cdot A\;d\!X=1_C\cdot\int_t^T A\;d\!X$ for $C\in\mathcal F_t$?

Published on 10 Mar 2014 - 14:41

834

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Markov processes and semimartingales

Published on 03 Apr 2026 - 22:32

2.9k

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Find closed-form solution to the SDE $dX_t = dt + 2 \sqrt{X_t} \, dW_t$

Published on 29 Mar 2026 - 16:50

505

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Convergence of Riemann sum for stochastic integral

Published on 11 Apr 2017 - 17:02

176

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Help with integral trick in normal distribution calculation

Published on 22 Apr 2017 - 16:36

1.2k

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Confusion about second partial derivative term in Ito's lemma with a constraint on the variables

Published on 26 Apr 2017 - 7:21

151

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Apply Itô's Lemma to $\left| X_t\right|^2$

Published on 29 Mar 2026 - 16:49

102

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Calculate $\text E\left[\sum_{m∈ℕ}\int_0^tΦ_s^m{\rm d}B_s^m\sum_{n∈ℕ}\int_0^tΨ_s^n{\rm d}B_s^n\mid\mathcal F_r\right]$

Published on 03 May 2017 - 20:03

282

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Ito Integral and Integration by part

Published on 04 May 2017 - 11:54

62

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Property of stochastic integral

Published on 09 May 2017 - 10:33

135

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Define Stopping time considering a Brownian Motion

Published on 10 May 2017 - 0:09

List Question

Determine if this is a Martingale

Expected value of stopping time of Stochastic Process.

Stochastic Integrals and Martingales

If two stochastic integrands are equal on some measurable set, will the stochastic integrals be equal on that set?

$\int_t^T 1_C\cdot A\;d\!X=1_C\cdot\int_t^T A\;d\!X$ for $C\in\mathcal F_t$?

Markov processes and semimartingales

Find closed-form solution to the SDE $dX_t = dt + 2 \sqrt{X_t} \, dW_t$

Convergence of Riemann sum for stochastic integral

Help with integral trick in normal distribution calculation

Confusion about second partial derivative term in Ito's lemma with a constraint on the variables

Apply Itô's Lemma to $\left| X_t\right|^2$

Calculate $\text E\left[\sum_{m∈ℕ}\int_0^tΦ_s^m{\rm d}B_s^m\sum_{n∈ℕ}\int_0^tΨ_s^n{\rm d}B_s^n\mid\mathcal F_r\right]$

Ito Integral and Integration by part

Property of stochastic integral

Define Stopping time considering a Brownian Motion

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