List questions from stochastic-integrals

Published on 17 Jan 2021 - 18:45

142

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Calculating $E(1+M_t)^2\int_0^t M_s^2 ds$ and $E(1+M_t)^2\int_0^t M_s^2 dM_s$

Published on 20 Jan 2021 - 10:41

378

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Dynkin Operator explained to a finance student

Published on 30 Mar 2026 - 15:10

64

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Do you know any result on how to interchange stochastic integration with Frechet derivative?

Published on 26 Mar 2026 - 8:24

52

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Why $|W_t|-L_t$ is a Brownian motion

Published on 24 Jan 2021 - 19:10

30

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Show that this defines a continuous local martingale

Published on 25 Jan 2021 - 6:12

401

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Kunita Watanabe Inequality Proof

Published on 25 Jan 2021 - 18:01

98

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Stochastic calculus of Gaussian white noise

Published on 30 Mar 2026 - 15:14

160

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Conditional expectation on the product of squared Brownian motion with Doléans-Dade exponential (Radon-Nikodym derivatives)

Published on 30 Mar 2026 - 15:15

369

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How to prove that the quadratic variation of $X_t = W_t^4 - 6tW_t^2 + 3t^2$ is integrable?

Published on 23 Feb 2026 - 22:24

168

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Form of Ito's formula for Ito diffusions

Published on 30 Mar 2026 - 15:10

1k

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Application of Dynkin's formula

Published on 30 Mar 2026 - 15:10

50

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Itô's formula for an expectation result

Published on 30 Mar 2026 - 15:11

67

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Write stochastic integral equation in differential form.

Published on 30 Mar 2026 - 15:11

148

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If $X_t=\int_0^t \sigma _s\,\mathrm d W_s$, how can I prove that $\mathrm d \left<X\right>_t=\sigma _t^2\,\mathrm d t$

Published on 05 Feb 2021 - 13:12

List Question

Functional of BM and time is martingale

Calculating $E(1+M_t)^2\int_0^t M_s^2 ds$ and $E(1+M_t)^2\int_0^t M_s^2 dM_s$

Dynkin Operator explained to a finance student

Do you know any result on how to interchange stochastic integration with Frechet derivative?

Why $|W_t|-L_t$ is a Brownian motion

Show that this defines a continuous local martingale

Kunita Watanabe Inequality Proof

Stochastic calculus of Gaussian white noise

Conditional expectation on the product of squared Brownian motion with Doléans-Dade exponential (Radon-Nikodym derivatives)

How to prove that the quadratic variation of $X_t = W_t^4 - 6tW_t^2 + 3t^2$ is integrable?

Form of Ito's formula for Ito diffusions

Application of Dynkin's formula

Itô's formula for an expectation result

Write stochastic integral equation in differential form.

If $X_t=\int_0^t \sigma _s\,\mathrm d W_s$, how can I prove that $\mathrm d \left<X\right>_t=\sigma _t^2\,\mathrm d t$

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