List questions from stochastic-integrals

Published on 04 Feb 2020 - 23:49

344

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Expectation problem of a stochastic integral

Published on 05 Feb 2020 - 8:35

66

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$S_t$ and $X_t$ stochastic processes; $S_t$ martingale. Why $E[\int_{0}^T S_tdX_t]=-S_0X_0$?

Published on 05 Feb 2020 - 9:07

45

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Calculate indicator function from two-point-correlation function

Published on 05 Feb 2020 - 10:40

204

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Compensator for $\bigg(\int_0^t f(s)dB(s)\bigg)^2$.

Published on 23 Feb 2026 - 4:55

335

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Multi-factor Ito Lemma & Girsanov Theorem

Published on 23 Feb 2026 - 13:24

1k

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Is it true that $\int_0^t W_s ds = tW_t?$

Published on 10 Feb 2020 - 13:25

105

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Where does this approximation for the expected value of an exponential come from?

Published on 11 Feb 2020 - 8:43

101

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Existence of optional quadratic variation (or quadratic co-variation) [X,Y]

Published on 12 Feb 2020 - 16:23

144

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jumps of semimartingale form an absolute convergent series

Published on 26 Mar 2026 - 8:03

42

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Spectral representation of complex non-negative definite function

Published on 14 Feb 2020 - 15:54

345

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Calculating a quadratic variation of a process

Published on 15 Feb 2020 - 10:39

98

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Measurability issue of stochastic stieltjes integration. Joint measurability of $\int_0^t F(s,\omega) dA_s(\omega)$.

Published on 15 Feb 2020 - 17:03

146

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Expectation of product of stochastic integral and random variable with end-point dependence

Published on 17 Feb 2020 - 12:16

157

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Question about Schilling's Proof in uniform approximation of Ito processes by simple Ito processes.

Published on 17 Feb 2020 - 14:56

List Question

Stopping of integral vs stopping of integrator

Expectation problem of a stochastic integral

$S_t$ and $X_t$ stochastic processes; $S_t$ martingale. Why $E[\int_{0}^T S_tdX_t]=-S_0X_0$?

Calculate indicator function from two-point-correlation function

Compensator for $\bigg(\int_0^t f(s)dB(s)\bigg)^2$.

Multi-factor Ito Lemma & Girsanov Theorem

Is it true that $\int_0^t W_s ds = tW_t?$

Where does this approximation for the expected value of an exponential come from?

Existence of optional quadratic variation (or quadratic co-variation) [X,Y]

jumps of semimartingale form an absolute convergent series

Spectral representation of complex non-negative definite function

Calculating a quadratic variation of a process

Measurability issue of stochastic stieltjes integration. Joint measurability of $\int_0^t F(s,\omega) dA_s(\omega)$.

Expectation of product of stochastic integral and random variable with end-point dependence

Question about Schilling's Proof in uniform approximation of Ito processes by simple Ito processes.

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