List questions from stochastic-integrals

Published on 25 Mar 2026 - 17:36

681

Views

Application of Ito's Lemma to integral expression

Published on 18 Apr 2014 - 11:44

599

Views

Mean-value like result for stochastic integrals

Published on 19 Apr 2014 - 13:15

209

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$\mathbb{E}[B_t-B_s], \mathbb{E}[\exp(\sigma(B_t-B_s))]$ etc.

Published on 20 Apr 2014 - 20:29

308

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Question about a Bessel process

Published on 25 Mar 2026 - 17:35

122

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Determining $dX_t$ for stochastic equations, and which of these are $\mathcal{F} $ - martingales?

Published on 28 Apr 2014 - 15:38

2.3k

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Variance of Ito Integral

Published on 28 Apr 2014 - 19:04

78

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Derived Point Process

Published on 29 Apr 2014 - 1:43

204

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Elementary Malliavin Derivative question about definition.

Published on 26 Mar 2026 - 5:08

1k

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Show that $E(Y\mid X=x)$ is a linear function in $x$

Published on 30 Apr 2014 - 13:11

167

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Show that $Y=\int_0^1f(s)B_s \, ds$ is normal and find $\text{var}(Y)$.

Published on 30 Apr 2014 - 22:12

495

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Poisson integral and discontinuous martingale (Ito-Levy formula)

Published on 26 Mar 2026 - 2:54

293

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Expectation of this stochastic process

Published on 06 May 2014 - 20:18

1.4k

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Ornstein-Uhlenbeck process and Markov property

Published on 06 May 2014 - 21:26

118

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Is this a Brownian motion

Published on 07 May 2014 - 19:40

List Question

Does this Stochastic Differential Equation have a name?

Application of Ito's Lemma to integral expression

Mean-value like result for stochastic integrals

$\mathbb{E}[B_t-B_s], \mathbb{E}[\exp(\sigma(B_t-B_s))]$ etc.

Question about a Bessel process

Determining $dX_t$ for stochastic equations, and which of these are $\mathcal{F} $ - martingales?

Variance of Ito Integral

Derived Point Process

Elementary Malliavin Derivative question about definition.

Show that $E(Y\mid X=x)$ is a linear function in $x$

Show that $Y=\int_0^1f(s)B_s \, ds$ is normal and find $\text{var}(Y)$.

Poisson integral and discontinuous martingale (Ito-Levy formula)

Expectation of this stochastic process

Ornstein-Uhlenbeck process and Markov property

Is this a Brownian motion

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