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Apparent inconsistency in Skorohod integration

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#probability-theory #stochastic-calculus #brownian-motion #stochastic-integrals #malliavin-calculus
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Prove stochastic exponential to be a martingale

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#probability #stochastic-processes #martingales #stochastic-integrals #stochastic-pde
45
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Pathwise closeness of solutions of SDE's

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
114
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Does $Z(t)$ have stationary increments?

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#probability #stochastic-processes #brownian-motion #stochastic-integrals
1.9k
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Probability of a bomb disrupting the traffic, can you help me check if it's right?

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#probability #statistics #stochastic-integrals
1.3k
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Integrate function of a Gaussian white noise process w.r.t. time?

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#probability #integration #definite-integrals #stochastic-processes #stochastic-integrals
154
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A question on relationship between quadraticc variation of right continuous martingales?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #quadratic-variation
449
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Compute the $n$th stochastic integral of Brownian motions

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#probability-theory #brownian-motion #stochastic-integrals #hermite-polynomials
715
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How can we show that the Dolean Dade exponential is a supermartingale without using the Ito's lemma

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#stochastic-calculus #brownian-motion #martingales #stochastic-integrals #stochastic-analysis
1.1k
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linear stochastic differential equation: expectation and covariance

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#probability #stochastic-processes #expectation #stochastic-calculus #stochastic-integrals
29
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Two different ways of expressing a stochastic integral?

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#brownian-motion #stochastic-integrals
1k
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Exit time of a stochastic process defined by a SDE

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#reference-request #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
589
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When do the Ito integral and the Riemann Stieltjes integral coincide?

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#stochastic-processes #stochastic-integrals
37
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Can this function: $\int_0^t({B_s}^2+s)^2$ $ds$ be simplified any further using Ito's Lemma or other methods?

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#stochastic-calculus #brownian-motion #stochastic-integrals
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Jumping times on Borel sets away from zero are stopping times

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis

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