List questions from stochastic-integrals

36

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Differential of $ \int_{0}^{t} e^{\int_{s}^{t} \sigma(\tau)dW(\tau)+(r(\tau)-\frac{1}{2}\sigma(\tau)^{2})d\tau} c(s)ds $

Published on 08 May 2014 - 7:36

570

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Independence of stochastic process $(dB_1t)(dB_2t)$=0?

Published on 08 May 2014 - 19:11

236

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Sufficient condition for time-changed quadratic covariation to vanish in probability

Published on 09 May 2014 - 6:21

776

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How to solve this SDE ? stuck half way

Published on 25 Mar 2026 - 17:37

647

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derivative of expected value of maximum of two stochastics variables (iid)

Published on 25 Mar 2026 - 14:25

234

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Stratonovich integral of $\sin(W^2)$

Published on 11 May 2014 - 15:07

85

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Random variables independent

Published on 15 May 2014 - 20:08

756

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Solutions of SDE do not explode when drift term is zero.

Published on 16 May 2014 - 2:28

209

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Stochastic Integral Help

Published on 18 May 2014 - 7:17

1.3k

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Expectation of product of stochastic integral and brownian motion

Published on 18 May 2014 - 8:27

61

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I want to show $\operatorname{Cov}(X(t),X(s))=\min(s,t)- \frac{st}{T}.$

Published on 21 May 2014 - 15:15

4.4k

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Moment generating function of the stochastic integral $\int_0^t \alpha_s \, dW_s$

Published on 26 May 2014 - 14:13

2.3k

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Quadratic variation of $X_{t} = tB_{t}$?

Published on 23 Feb 2026 - 2:57

1.8k

Views

Expectation of Ito integral

Published on 01 Jun 2014 - 5:17

1.1k

Views

Expectation of Ito integral, part 2, and Fubini theorem

Published on 03 Jun 2014 - 0:53

List Question

Differential of $ \int_{0}^{t} e^{\int_{s}^{t} \sigma(\tau)dW(\tau)+(r(\tau)-\frac{1}{2}\sigma(\tau)^{2})d\tau} c(s)ds $

Independence of stochastic process $(dB_1t)(dB_2t)$=0?

Sufficient condition for time-changed quadratic covariation to vanish in probability

How to solve this SDE ? stuck half way

derivative of expected value of maximum of two stochastics variables (iid)

Stratonovich integral of $\sin(W^2)$

Random variables independent

Solutions of SDE do not explode when drift term is zero.

Stochastic Integral Help

Expectation of product of stochastic integral and brownian motion

I want to show $\operatorname{Cov}(X(t),X(s))=\min(s,t)- \frac{st}{T}.$

Moment generating function of the stochastic integral $\int_0^t \alpha_s \, dW_s$

Quadratic variation of $X_{t} = tB_{t}$?

Expectation of Ito integral

Expectation of Ito integral, part 2, and Fubini theorem

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