List questions from stochastic-integrals

Published on 24 Mar 2026 - 20:40

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How to solve the SDE: $dX_t = aX_t dt + b \sqrt{X_t} dW_t$

Published on 24 Mar 2026 - 20:42

48

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Looking for a problem involving stochastic integration and statistics

Published on 04 Mar 2018 - 16:30

2.3k

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Stochastic Leibniz Rule

Published on 22 Mar 2026 - 6:11

316

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Martingale property of a stochastic integral w.r.t. a local martingale.

Published on 22 Mar 2026 - 22:49

58

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Where exactly in the proof is the boundedness of $\sigma(x)$ and $b(x)$ being used?

Published on 06 Mar 2018 - 21:14

2.5k

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Some questions on the details of an integration of Brownian Motion Against itself

Published on 11 Mar 2018 - 20:34

92

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Compute the expectation of this stochastic process

Published on 24 Mar 2026 - 22:56

501

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Assumptions for stochastic Fubini's theorem for Brownian Motion

Published on 13 Mar 2018 - 16:03

120

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Question about a particular limit in proof of Ito's lemma

Published on 15 Mar 2026 - 15:03

220

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Riemann integral of discrete white noise

Published on 23 Mar 2026 - 1:26

426

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Substitution of a random variable into a stochastic integral

Published on 15 Mar 2018 - 23:13

170

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How to represent $ \int_0^t B_s \, dB_s$ as the limit of a discrete sum?

Published on 17 Mar 2018 - 13:23

668

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Equivalence between a SDE and an ODE

Published on 22 Mar 2026 - 6:35

139

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What conclusions can be made if an Ito process is differentiable?

Published on 20 Mar 2018 - 13:17

List Question

Solve SDE and its formal solution

How to solve the SDE: $dX_t = aX_t dt + b \sqrt{X_t} dW_t$

Looking for a problem involving stochastic integration and statistics

Stochastic Leibniz Rule

Martingale property of a stochastic integral w.r.t. a local martingale.

Where exactly in the proof is the boundedness of $\sigma(x)$ and $b(x)$ being used?

Some questions on the details of an integration of Brownian Motion Against itself

Compute the expectation of this stochastic process

Assumptions for stochastic Fubini's theorem for Brownian Motion

Question about a particular limit in proof of Ito's lemma

Riemann integral of discrete white noise

Substitution of a random variable into a stochastic integral

How to represent $ \int_0^t B_s \, dB_s$ as the limit of a discrete sum?

Equivalence between a SDE and an ODE

What conclusions can be made if an Ito process is differentiable?

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