List questions from stochastic-integrals

Published on 12 Mar 2012 - 15:16

656

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Convergence of quadratic variation of Ito processes

Published on 23 Feb 2026 - 20:42

2.9k

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On hitting time of Brownian motion and Ito's lemma

Published on 24 Mar 2012 - 16:47

834

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$d$-Dimensional Brownian Motion Martingales

Published on 30 Mar 2012 - 2:49

143

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If $X$ is a martingale, $X(0)=0$; $f$ left continuous, is $\int f X$ dt also a martingale?

Published on 30 Mar 2012 - 15:18

793

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Is the solution to a driftless SDE with Lipschitz variation a martingale?

Published on 03 Apr 2012 - 9:27

206

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Calculating $\mathbb{E}[\int_0^T N_{t-} dS_t]$ - an expectation of a simple stochastic integral.

Published on 03 Apr 2012 - 11:38

373

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Why is $ N^\tau ( M - M^\tau ) $ a continuous local martingale if $ M $ and $ N $ are?

Published on 09 Apr 2012 - 11:12

2.4k

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Scalar product of a deterministic function with Gaussian white noise

Published on 19 Apr 2012 - 17:16

582

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Futures pricing and futures price process under the real world measure

Published on 05 Apr 2026 - 16:06

133

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Why is this a martingale?

Published on 30 Apr 2012 - 13:28

291

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PDF for the integral of a Stochastic Process

Published on 04 May 2012 - 0:27

770

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Karhunen-Loève expansion of Poisson process

Published on 04 May 2012 - 14:51

2.9k

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$\mathcal{F_t}$-martingales with Itô's formula?

Published on 09 May 2012 - 19:20

261

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The variance of bilateral filtered random variables

Published on 12 May 2012 - 9:36

List Question

How to make this heuristic extension of Itô-Tanaka's formula valid

Convergence of quadratic variation of Ito processes

On hitting time of Brownian motion and Ito's lemma

$d$-Dimensional Brownian Motion Martingales

If $X$ is a martingale, $X(0)=0$; $f$ left continuous, is $\int f X$ dt also a martingale?

Is the solution to a driftless SDE with Lipschitz variation a martingale?

Calculating $\mathbb{E}[\int_0^T N_{t-} dS_t]$ - an expectation of a simple stochastic integral.

Why is $ N^\tau ( M - M^\tau ) $ a continuous local martingale if $ M $ and $ N $ are?

Scalar product of a deterministic function with Gaussian white noise

Futures pricing and futures price process under the real world measure

Why is this a martingale?

PDF for the integral of a Stochastic Process

Karhunen-Loève expansion of Poisson process

$\mathcal{F_t}$-martingales with Itô's formula?

The variance of bilateral filtered random variables

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