List questions from stochastic-integrals

Published on 28 Mar 2026 - 15:45

51

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A question regarding the analytic expression of an Ito integral

Published on 06 Jan 2024 - 2:52

84

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How can I show that the stochastic integral $\int_0^t (1-B_s-s)e^{-B_s-\frac{s}{2}} dB_s$ is a martingale?

Published on 08 Jan 2024 - 9:23

144

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Calculate $\mathbb EX$, $VarX$ for $\tau=\inf \{t>0: \int_0^t e^{-(W_2^2+2W_s)}ds=2\}, X=\int_0^{\tau}e^{-(\frac{W_s^2}2+W_s)}dW_s$

Published on 29 Mar 2026 - 8:16

72

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Canonical lift of a smooth path as a rough path

Published on 23 Feb 2026 - 8:39

139

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What is the expectation of the positive part of a stochastic integral?

Published on 15 Jan 2024 - 9:49

64

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Does the Itô integral rely on the martingale structure of the driving Brownian motion?

Published on 21 Jan 2024 - 5:22

17

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Estimating jump diffusion parameters from first passage time data?

Published on 28 Mar 2026 - 22:37

174

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How to solve the following inverse-time non-linear vector SDE?

Published on 28 Mar 2026 - 17:25

61

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Rigorous extension of Stochastic Integral for processes with $E[\int^{T_n}_0 X_t^2 dt ] < \infty$, $ \forall n \geq 0 $

Published on 27 Jan 2024 - 9:21

60

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Itô's formula for a reflected Brownian Motion

Published on 27 Jan 2024 - 23:36

43

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$L^p$ stochastic processes and boundedness

Published on 29 Jan 2024 - 15:04

27

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Doob-Meyer decomposition for inequalities

Published on 28 Mar 2026 - 22:37

107

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Find the solution of SDE $dY_t=rdt+\alpha Y_tdB_t$

Published on 28 Mar 2026 - 17:25

30

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Distribution of indefinite integral of Brownian motion multiplied by an exponential decay term w.r.t time

Published on 09 Feb 2024 - 9:17

List Question

Solving a two-dimensional stochastic differential equation

A question regarding the analytic expression of an Ito integral

How can I show that the stochastic integral $\int_0^t (1-B_s-s)e^{-B_s-\frac{s}{2}} dB_s$ is a martingale?

Calculate $\mathbb EX$, $VarX$ for $\tau=\inf \{t>0: \int_0^t e^{-(W_2^2+2W_s)}ds=2\}, X=\int_0^{\tau}e^{-(\frac{W_s^2}2+W_s)}dW_s$

Canonical lift of a smooth path as a rough path

What is the expectation of the positive part of a stochastic integral?

Does the Itô integral rely on the martingale structure of the driving Brownian motion?

Estimating jump diffusion parameters from first passage time data?

How to solve the following inverse-time non-linear vector SDE?

Rigorous extension of Stochastic Integral for processes with $E[\int^{T_n}_0 X_t^2 dt ] < \infty$, $ \forall n \geq 0 $

Itô's formula for a reflected Brownian Motion

$L^p$ stochastic processes and boundedness

Doob-Meyer decomposition for inequalities

Find the solution of SDE $dY_t=rdt+\alpha Y_tdB_t$

Distribution of indefinite integral of Brownian motion multiplied by an exponential decay term w.r.t time

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