List questions from stochastic-integrals

Published on 26 Mar 2026 - 20:40

191

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Using approximations of approximations to define the Itô integral

Published on 29 Jun 2020 - 19:20

66

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Summarize coefficients of $dX=f(X)dt+g_1(X)dW_1+g_2(X)dW_2$

Published on 26 Mar 2026 - 20:41

314

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Why is $\int_S^T f dB_t$ (Itô integral) $\mathcal{F}_t$-measurable?

Published on 30 Jun 2020 - 19:34

121

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Solving an Ornstein-Uhlenbeck style SDE

Published on 26 Mar 2026 - 20:44

277

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Differentiating Laplace transform of $dX=cXdt+\sqrt{X}dW$

Published on 26 Mar 2026 - 20:40

727

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Inverse Bessel Process as continuous local martingale

Published on 26 Mar 2026 - 20:38

122

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Identifying a generic Hilbert space $H$ with an $L^2$ space on some measure space.

Published on 23 Feb 2026 - 1:05

43

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show $E\int^\infty_0e^{-A_t}dA_t$ is bounded above

Published on 10 Jul 2020 - 20:42

106

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$\operatorname{cov}\left(\int_0^tf(s,T_1)\,dW(s,T_1),\int_0^tf(s,T_2)\,dW(s,T_1)\right)=\text{?}$

Published on 23 Feb 2026 - 4:58

217

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The integrand of Levy-Ito decomposition

Published on 26 Mar 2026 - 4:30

84

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"Periodicity" of the Wiener integral?

Published on 17 Jul 2020 - 14:43

73

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left-continuity / right-continuity of two processes with cycling definition.

Published on 18 Jul 2020 - 19:49

382

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Proof $Z_t = e^{-(a+\frac{b^2}{2})t +X_t}$ is a martingale

Published on 20 Jul 2020 - 16:02

86

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Clarification on inconsistencies between different continuous-time white noise definitions

Published on 25 Mar 2026 - 7:41

List Question

Unique strong solution of $X_t=t+\int_0^tX_sdW_s$

Using approximations of approximations to define the Itô integral

Summarize coefficients of $dX=f(X)dt+g_1(X)dW_1+g_2(X)dW_2$

Why is $\int_S^T f dB_t$ (Itô integral) $\mathcal{F}_t$-measurable?

Solving an Ornstein-Uhlenbeck style SDE

Differentiating Laplace transform of $dX=cXdt+\sqrt{X}dW$

Inverse Bessel Process as continuous local martingale

Identifying a generic Hilbert space $H$ with an $L^2$ space on some measure space.

show $E\int^\infty_0e^{-A_t}dA_t$ is bounded above

$\operatorname{cov}\left(\int_0^tf(s,T_1)\,dW(s,T_1),\int_0^tf(s,T_2)\,dW(s,T_1)\right)=\text{?}$

The integrand of Levy-Ito decomposition

"Periodicity" of the Wiener integral?

left-continuity / right-continuity of two processes with cycling definition.

Proof $Z_t = e^{-(a+\frac{b^2}{2})t +X_t}$ is a martingale

Clarification on inconsistencies between different continuous-time white noise definitions

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