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15
Math.TechQA.Club
2026-04-01 19:06:53
69
Views
Weak solution of SDE with tanh drift
Published on
01 Apr 2026 - 19:06
#stochastic-processes
#stochastic-calculus
#stochastic-integrals
#stochastic-differential-equations
101
Views
Use Itō isometry to calculate $\mathbb{E}X_{t}^{2}$, where $X_{t}= \int_{0}^{t}B_{s}{\boldsymbol d}B_{s}$
Published on
28 Aug 2022 - 4:05
#stochastic-processes
#expected-value
#stochastic-calculus
#stochastic-integrals
#stochastic-analysis
107
Views
Prove discrete Markov chain $x_i = \sqrt{1-\beta_i} x_{i-1} + \sqrt{\beta_i} z_{i-1}$ converges to $dx=-\frac{1}{2}\beta(t)xdt + \sqrt{\beta(t)} dw$.
Published on
01 Apr 2026 - 20:51
#probability-theory
#stochastic-calculus
#brownian-motion
#stochastic-integrals
#stochastic-differential-equations
26
Views
Multiple integral convergence for stochastic processes
Published on
08 Sep 2022 - 5:44
#stochastic-processes
#stochastic-integrals
#stochastic-analysis
420
Views
Why is Itô integration not a "pathwise solution theory" to SDEs, but rough path theory is?
Published on
01 Apr 2026 - 20:48
#probability-theory
#stochastic-processes
#stochastic-integrals
#stochastic-analysis
#stochastic-differential-equations
83
Views
Expectation of the exponential of the sum of Brownian motion and the time it spent above certain threshold
Published on
20 Sep 2022 - 15:48
#stochastic-processes
#stochastic-calculus
#brownian-motion
#stochastic-integrals
#stochastic-analysis
63
Views
Differential form of local martingale and its quadratic variation
Published on
23 Feb 2026 - 22:24
#stochastic-integrals
#quadratic-variation
#local-martingales
190
Views
How can Wiener process be integrated w.r.t. time?
Published on
01 Apr 2026 - 20:46
#stochastic-integrals
#stochastic-differential-equations
100
Views
Integral of an adapted process might be not adapted?
Published on
02 Apr 2026 - 5:41
#stochastic-processes
#stochastic-integrals
#measurable-functions
70
Views
Variance of Itô integral
Published on
23 Sep 2022 - 9:19
#stochastic-calculus
#stochastic-integrals
33
Views
Time-average value of Gaussian Bridge conditional on extremes.
Published on
23 Sep 2022 - 17:02
#stochastic-processes
#expected-value
#stochastic-integrals
44
Views
Integrating a Brownian bridge with respect to a deterministic function
Published on
23 Feb 2026 - 13:00
#stochastic-processes
#brownian-motion
#stochastic-integrals
#stochastic-analysis
#brownian-bridge
59
Views
Expected value of exponential integrate Brownian motion
Published on
27 Sep 2022 - 13:17
#probability-theory
#stochastic-processes
#stochastic-calculus
#brownian-motion
#stochastic-integrals
99
Views
Why is it possible to substitute in differential form?
Published on
01 Apr 2026 - 20:48
#stochastic-processes
#stochastic-calculus
#stochastic-integrals
#stochastic-analysis
#stochastic-differential-equations
535
Views
Ito isometry for correlated Brownian motions
Published on
24 Feb 2026 - 1:51
#stochastic-processes
#stochastic-integrals
#stochastic-analysis
#isometry
#quadratic-variation
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