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Norm in the space of square integrable martingales

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Definition of Stratonovich Integral

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71
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Why can we change the differentials?(Brownian stochastic integrals)

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119
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Proving associativity for a certain stochastic integral.

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704
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Expected value of $S_t$ where $dS_t=(\mu S_t+a)dt + (\sigma S_t +b)dW_t$

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#probability-theory #stochastic-processes #expected-value #stochastic-integrals #stochastic-differential-equations
395
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integral w.r.t. Brownian motion is gaussian process?

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#probability-distributions #stochastic-processes #brownian-motion #stochastic-integrals
95
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Does the converse of Girsanov theorem hold in this case?

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132
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Can this stochastic integral exist?

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169
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Coordinate change of the solution of an SDE

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220
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Getting a continuous modification in existence proof of SDE (Oksendal)

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91
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Efficient numerical solution of brownian motion SDE with non-smooth diffusivity

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151
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Conditional expectation of a function of a stochastic process

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289
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Showing the Itô logarithm is the inverse of the Doléans-Dade exponential

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#probability-theory #stochastic-processes #martingales #stochastic-integrals #stochastic-analysis
352
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Is this stochastic integral well-defined?

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110
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integrability of random variables w.r.t. Brownian motion

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