List questions from stochastic-integrals

Published on 21 Jul 2020 - 14:03

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is this a norm on stochastic processes? (to define ito integral)

Published on 23 Jul 2020 - 16:46

32

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Integral from normal variable.

Published on 23 Jul 2020 - 17:05

77

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Approximation for definition of stochastic integral (Oksendal SDE)

Published on 26 Mar 2026 - 20:39

52

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Why are simple integrands adapted?

Published on 24 Jul 2020 - 21:27

26

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How to find the (co)variance matrix of a continuous multivariate distribution

Published on 23 Feb 2026 - 11:50

116

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Norm equivalences for Gaussian random functions (Cameron-Martin space)

Published on 25 Mar 2026 - 8:07

554

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Proof of Ito Isometry in the general case

Published on 28 Jul 2020 - 22:15

405

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The expected value of the Ito integral of functions in $\mathcal{V}$ is zero, $\mathbb{E}[\int_S^T f dB_t] = 0$ for $f\in\mathcal{V}$

Published on 29 Jul 2020 - 5:22

103

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The canonical filtration of a Brownian motion is not a subset of the canonical filtration of its absolute process

Published on 26 Mar 2026 - 6:23

135

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Question about the solution to the SDE $dX_t = 1_{(0,\infty)}(X_t)dB_t, \; X_0 \coprod B$

Published on 27 Mar 2026 - 0:05

100

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$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

Published on 29 Jul 2020 - 16:42

95

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Differentiability of a simple value function driven by a diffusion

Published on 10 Jul 2016 - 20:54

151

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Solving an Itô Integral

Published on 11 Jul 2016 - 20:06

1.4k

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Mean and Variance of SDE

Published on 28 Mar 2026 - 6:23

List Question

Convergence of martingales is a martingale

is this a norm on stochastic processes? (to define ito integral)

Integral from normal variable.

Approximation for definition of stochastic integral (Oksendal SDE)

Why are simple integrands adapted?

How to find the (co)variance matrix of a continuous multivariate distribution

Norm equivalences for Gaussian random functions (Cameron-Martin space)

Proof of Ito Isometry in the general case

The expected value of the Ito integral of functions in $\mathcal{V}$ is zero, $\mathbb{E}[\int_S^T f dB_t] = 0$ for $f\in\mathcal{V}$

The canonical filtration of a Brownian motion is not a subset of the canonical filtration of its absolute process

Question about the solution to the SDE $dX_t = 1_{(0,\infty)}(X_t)dB_t, \; X_0 \coprod B$

$ X_s^{0,\xi}(\omega) + \int_s^t b(r,X_r^{0,\xi})dr + \int_s^t \sigma(r,X_r^{0,\xi})dB_r(\omega)$ is $\sigma(B_r - B_s:r\ge s)$-measurable

Differentiability of a simple value function driven by a diffusion

Solving an Itô Integral

Mean and Variance of SDE

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