List questions from stochastic-integrals

Published on 08 Feb 2023 - 0:51

30

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Can we write the Ito differential dBt into some "differential form" like we do for df where f is smooth?

Published on 27 Mar 2026 - 10:10

75

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Stochastic integral with respect to negative time? Interpretation.

Published on 10 Feb 2023 - 14:45

535

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On the calculation of mean square limit for the Ito integral

Published on 23 Feb 2026 - 8:25

69

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$(\int_0^uf(r,u)dB_r)_{u \geq 0}$ is Gaussian

Published on 10 Feb 2023 - 20:29

72

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Generalised Ito Formula

Published on 14 Feb 2023 - 9:31

128

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Measurability of a stochastic integral

Published on 23 Feb 2023 - 23:30

81

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Why can we say $ \exp\left(\sum_{i=1}^N\left(\int_0^t X_t^i dB_t^i-\frac{1}{2}\int_0^t (X_t^i)^2dt\right)\right) $ is a martingale?

Published on 03 Mar 2023 - 21:52

76

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Hilbert Schmidt embedding (needed for Cylindrical Wiener processes)

Published on 06 Mar 2023 - 19:25

77

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Are there some upper bounds of $|\langle X,Y \rangle_t|$ in terms of $\langle X \rangle_t$ and $\langle Y \rangle_t$?

Published on 23 Feb 2026 - 8:42

271

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Prove of $\int_0^t B_s^2 dB_2 = 1/3 B_t^3 - \int_0^t B_sds $

Published on 09 Mar 2023 - 16:07

99

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Time-changed squared Brownian motion

Published on 17 Mar 2023 - 11:29

60

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How to take the average of a stochastic differential equation?

Published on 27 Mar 2026 - 13:19

112

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Tensorial Ito formula for the tangent space of a manifold

Published on 27 Mar 2026 - 11:48

104

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$(1-t)\int_0^t \frac{1}{1-s}\,dB_s\overset{d}{=} B_t-tB_1$?

Published on 23 Feb 2026 - 9:51

List Question

Stochastic exponential jump process equality

Can we write the Ito differential dBt into some "differential form" like we do for df where f is smooth?

Stochastic integral with respect to negative time? Interpretation.

On the calculation of mean square limit for the Ito integral

$(\int_0^uf(r,u)dB_r)_{u \geq 0}$ is Gaussian

Generalised Ito Formula

Measurability of a stochastic integral

Why can we say $ \exp\left(\sum_{i=1}^N\left(\int_0^t X_t^i dB_t^i-\frac{1}{2}\int_0^t (X_t^i)^2dt\right)\right) $ is a martingale?

Hilbert Schmidt embedding (needed for Cylindrical Wiener processes)

Are there some upper bounds of $|\langle X,Y \rangle_t|$ in terms of $\langle X \rangle_t$ and $\langle Y \rangle_t$?

Prove of $\int_0^t B_s^2 dB_2 = 1/3 B_t^3 - \int_0^t B_sds $

Time-changed squared Brownian motion

How to take the average of a stochastic differential equation?

Tensorial Ito formula for the tangent space of a manifold

$(1-t)\int_0^t \frac{1}{1-s}\,dB_s\overset{d}{=} B_t-tB_1$?

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