List questions from stochastic-integrals

Published on 17 Apr 2019 - 15:48

888

Views

Multidimensional Correlated Geometric Brownian Motion, finding exact form of the matrices

Published on 18 Apr 2019 - 5:23

336

Views

Is this random Lebesgue-integral well-defined?

Published on 25 Mar 2026 - 11:18

961

Views

Solving a Stratonovich SDE

Published on 19 Apr 2019 - 13:31

1.7k

Views

Simple process in Itô calculus

Published on 22 Apr 2019 - 11:01

313

Views

What does non-degeneracy of of the diffusion coefficient in the context of a SDE mean?

Published on 25 Mar 2026 - 11:20

265

Views

(Proof) If $M$, $N$ are two orthogonal local martingales, and $S$, $T$ stopping times, then the stopped local martingales $M^S$, $N^T$ are orthogonal.

Published on 24 Apr 2019 - 15:37

223

Views

Solution to $\int_0^t dW_s $

Published on 26 Apr 2019 - 11:26

35

Views

Computing the expected time for a stochastic process to hit a boundary

Published on 29 Apr 2019 - 17:12

595

Views

How can I numerically compute a stochastic integral?

Published on 25 Mar 2026 - 11:17

85

Views

Compute integral about cosh

Published on 02 May 2019 - 15:39

234

Views

How to judge the solution process of an SDE to lie on the sphere?

Published on 25 Mar 2026 - 14:25

62

Views

When $\mathbb E\int_0^T H_s^2ds=\int_0^T \mathbb E[H_s^2]ds$ is not true?

Published on 25 Mar 2026 - 16:00

39

Views

Proof for identity involving joint probability and conditional probability.

Published on 07 May 2019 - 13:17

345

Views

Hitting time expectation squared for Brownian motion

Published on 08 May 2019 - 15:26

List Question

Computing $dY^{-1}(t)$ using the SDE $dY(t)=\mu Y(t)dt+\sigma Y(t)dW(t)$

Multidimensional Correlated Geometric Brownian Motion, finding exact form of the matrices

Is this random Lebesgue-integral well-defined?

Solving a Stratonovich SDE

Simple process in Itô calculus

What does non-degeneracy of of the diffusion coefficient in the context of a SDE mean?

(Proof) If $M$, $N$ are two orthogonal local martingales, and $S$, $T$ stopping times, then the stopped local martingales $M^S$, $N^T$ are orthogonal.

Solution to $\int_0^t dW_s $

Computing the expected time for a stochastic process to hit a boundary

How can I numerically compute a stochastic integral?

Compute integral about cosh

How to judge the solution process of an SDE to lie on the sphere?

When $\mathbb E\int_0^T H_s^2ds=\int_0^T \mathbb E[H_s^2]ds$ is not true?

Proof for identity involving joint probability and conditional probability.

Hitting time expectation squared for Brownian motion

Trending Questions

Popular # Hahtags

Popular Questions