List questions from stochastic-integrals

Published on 26 Mar 2026 - 4:49

15

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Continuity issue for convergence to functional of Brownian motion

Published on 06 Mar 2026 - 5:26

299

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Dade exponential martingale converse

Published on 23 Jul 2019 - 16:26

481

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Stochastic integral of indicator function with respect to geometric Brownian motion

Published on 25 Jul 2019 - 21:21

184

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The probability distribution of "derivative" of a random variable

Published on 23 Feb 2026 - 2:56

69

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"Cross Cubic variation" of Two Brownian Motions

Published on 01 Aug 2019 - 6:09

75

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Stochastic integral with a homogeneous Poisson process

Published on 01 Aug 2019 - 11:38

62

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Conditions for interchanging Ito and Riemannian integrals

Published on 22 Mar 2026 - 2:42

356

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How can I show that $\int_0^T f(s)dW_s\sim \mathcal N\left(0, \int_0^T f(s)^2ds\right)$?

Published on 11 Aug 2019 - 18:52

105

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Stochastic integration with non-caglad integrand

Published on 11 Aug 2019 - 23:39

40

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Does $\left|\int_0^T f(t,\omega )dW_t\right|\leq \int_0^T|f(t,\omega )|dW_t$ holds?

Published on 12 Aug 2019 - 9:22

498

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Ito formula $f(t,x)=e^{ax+bt}, t\in\mathbb R_+, x\in \mathbb R$

Published on 17 Aug 2019 - 15:24

346

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Compute $E^{\mathbb{Q}} \left[ \exp(S_T) | \mathcal{F}_t \right] $ with exponential Vasicek Model (1978)

Published on 23 Feb 2026 - 2:56

1.2k

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The Cox-Ingersoll-Ross Model (1985)

Published on 23 Feb 2026 - 2:56

232

Views

Variance of stochastic integral with respect to compensated Poisson process

Published on 21 Aug 2019 - 8:47

List Question

Ornstein-Uhlenbeck process - maximum likelihood estimation

Continuity issue for convergence to functional of Brownian motion

Dade exponential martingale converse

Stochastic integral of indicator function with respect to geometric Brownian motion

The probability distribution of "derivative" of a random variable

"Cross Cubic variation" of Two Brownian Motions

Stochastic integral with a homogeneous Poisson process

Conditions for interchanging Ito and Riemannian integrals

How can I show that $\int_0^T f(s)dW_s\sim \mathcal N\left(0, \int_0^T f(s)^2ds\right)$?

Stochastic integration with non-caglad integrand

Does $\left|\int_0^T f(t,\omega )dW_t\right|\leq \int_0^T|f(t,\omega )|dW_t$ holds?

Ito formula $f(t,x)=e^{ax+bt}, t\in\mathbb R_+, x\in \mathbb R$

Compute $E^{\mathbb{Q}} \left[ \exp(S_T) | \mathcal{F}_t \right] $ with exponential Vasicek Model (1978)

The Cox-Ingersoll-Ross Model (1985)

Variance of stochastic integral with respect to compensated Poisson process

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