List questions from stochastic-integrals

24

Views

Possible Close-form solution for 2 dimensional $\frac{d R}{dt}R^T = \mathbf{F}R_t R_t^T + \frac{1}{2} \mathbf{G}\mathbf{G}^T$

Published on 31 Mar 2022 - 4:11

161

Views

Increasing process is natural if and only if it is predictable

Published on 05 Apr 2022 - 15:53

637

Views

Definitions of the Stratonovich integral and why the "average" definition is arguably correct

Published on 06 Apr 2022 - 22:24

167

Views

Define Lebesgue-Stieltjes integral for integrators of unbounded first variation

Published on 10 Apr 2022 - 1:41

68

Views

optimal spread modeling

Published on 30 Mar 2026 - 8:52

211

Views

Proof verification: conditional distribution of integral of brownian motion

Published on 12 Apr 2022 - 19:59

141

Views

A definition of Stochastic integral that is both a martingale and preserves chain rule?

Published on 01 Apr 2026 - 9:45

806

Views

Properties of the time integral of Ito process

Published on 01 Apr 2026 - 9:48

160

Views

Pricing a call option in the Black Scholes Market - calculation steps

Published on 07 Apr 2026 - 17:49

38

Views

Stochastic Integral and Standard Brownian motion

Published on 01 Apr 2026 - 9:42

92

Views

Solving a linear backward stochastic differential equation

Published on 01 Apr 2026 - 9:48

55

Views

$E[(d W_t)^2] =?$

Published on 24 Apr 2022 - 12:55

104

Views

Is a Riccati BSDE explicitly solvable?

Published on 01 Apr 2026 - 11:14

216

Views

Inequality on Brownian motions and Ito integrals

Published on 25 Apr 2022 - 13:54

128

Views

The convexity of a stochastic integral with respect to the initial condition

Published on 28 Apr 2022 - 21:16

List Question

Possible Close-form solution for 2 dimensional $\frac{d R}{dt}R^T = \mathbf{F}R_t R_t^T + \frac{1}{2} \mathbf{G}\mathbf{G}^T$

Increasing process is natural if and only if it is predictable

Definitions of the Stratonovich integral and why the "average" definition is arguably correct

Define Lebesgue-Stieltjes integral for integrators of unbounded first variation

optimal spread modeling

Proof verification: conditional distribution of integral of brownian motion

A definition of Stochastic integral that is both a martingale and preserves chain rule?

Properties of the time integral of Ito process

Pricing a call option in the Black Scholes Market - calculation steps

Stochastic Integral and Standard Brownian motion

Solving a linear backward stochastic differential equation

$E[(d W_t)^2] =?$

Is a Riccati BSDE explicitly solvable?

Inequality on Brownian motions and Ito integrals

The convexity of a stochastic integral with respect to the initial condition

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