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Using Ito Isometry to find the mean and variance of an Ito Stochastic Integral

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138
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$n$-th power of stochastic exponential

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#probability-theory #stochastic-processes #stochastic-calculus #martingales #stochastic-integrals
307
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How to Add Two Ornstein-Uhlenbeck Processes

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#stochastic-processes #stochastic-integrals #wiener-measure
58
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Expectation of Ito Integrals.

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#stochastic-processes #stochastic-calculus #stochastic-integrals
223
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Martingale property of an stochastic integral, stopping time, stopping theorem

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#martingales #stochastic-integrals #stopping-times
109
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Heston Model and antithetic variables

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#stochastic-processes #stochastic-calculus #stochastic-integrals
156
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Find the covariance of $x_{t} = x_{0}e^{-\alpha t} + \rho \int_{0}^{t} e^{-\alpha(t-s)}dW_{s}$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
14
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$\sup_{\alpha}E_P[X_{\alpha} (T)]=Kf(\alpha^*) ?$

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#probability-theory #stochastic-processes #stochastic-integrals #stochastic-analysis
144
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Itô isometry for process that is not starting at 0?

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#probability-distributions #stochastic-processes #normal-distribution #stochastic-calculus #stochastic-integrals
97
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Continuity of stochastic integration with respect to path

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#probability-theory #stochastic-integrals #stochastic-analysis
123
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Variance of certain Ito-process

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#stochastic-calculus #stochastic-integrals #stochastic-analysis
291
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Ito representation

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#stochastic-calculus #stochastic-integrals
68
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Why progressively measurable is important for stochastic integral

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#stochastic-integrals
75
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Easy question on stochastic integral

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#brownian-motion #stochastic-integrals
191
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Itô for a pure jump martingale and preservable quadratic variation as compensator of quadratic variation

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