List questions from stochastic-integrals

Published on 22 Sep 2015 - 17:34

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Multiple Wiener Integral by Ito

Published on 29 Sep 2015 - 8:29

427

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Why is $dX_t=X_t(\mu_t dt+ \sigma_t dW_t)$ an Ito process?

Published on 30 Sep 2015 - 18:48

112

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Large deviation for Brownian path on $[0,\infty)$

Published on 25 Mar 2026 - 19:01

44

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Verifying the identity $E\left( \int^t_0 X_s ds \right)^2 = \int^t_0 \int^t_0 E(X_s X_u)\,ds\, du$

Published on 01 Oct 2015 - 13:18

732

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Motivation behind Ito integral

Published on 01 Oct 2015 - 14:21

333

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what's the usage of purely discontinuous martingale in stochastic integral?

Published on 03 Oct 2015 - 3:35

497

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Ito's Lemma Simple Application

Published on 03 Oct 2015 - 16:31

517

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Strong Markov property of Ito Diffusion - why must the stopping time be a.s. finite ? (Oksendal 6th edition p117 )

Published on 04 Oct 2015 - 8:32

2.2k

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Itô's formula: Differential form

Published on 05 Oct 2015 - 10:45

2k

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Why is a stochastic integral w.r.t a martingale always a local martingale?

Published on 06 Oct 2015 - 11:19

98

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Why writing $[X,Y]_t$ as $dX_t dY_t$ is so called "abuse of notation"

Published on 10 Oct 2015 - 10:48

66

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Prove that: $E[\int^{\tau}_{0} f(t)d\omega(t)]=0$ and $E\mid \int^{\tau}_{0} f(t)d\omega(t)\mid^2=E[\int^{\tau}_{0} f^2(t)dt]$.

Published on 30 Mar 2026 - 15:00

285

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Solving a Stochastic PDE with two variables in time

Published on 01 Apr 2026 - 14:08

54

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How can I formally arrive at solution of "deterministic SDE"

Published on 29 Mar 2026 - 5:40

List Question

Simple differential equation and Integral Ito

Multiple Wiener Integral by Ito

Why is $dX_t=X_t(\mu_t dt+ \sigma_t dW_t)$ an Ito process?

Large deviation for Brownian path on $[0,\infty)$

Verifying the identity $E\left( \int^t_0 X_s ds \right)^2 = \int^t_0 \int^t_0 E(X_s X_u)\,ds\, du$

Motivation behind Ito integral

what's the usage of purely discontinuous martingale in stochastic integral?

Ito's Lemma Simple Application

Strong Markov property of Ito Diffusion - why must the stopping time be a.s. finite ? (Oksendal 6th edition p117 )

Itô's formula: Differential form

Why is a stochastic integral w.r.t a martingale always a local martingale?

Why writing $[X,Y]_t$ as $dX_t dY_t$ is so called "abuse of notation"

Prove that: $E[\int^{\tau}_{0} f(t)d\omega(t)]=0$ and $E\mid \int^{\tau}_{0} f(t)d\omega(t)\mid^2=E[\int^{\tau}_{0} f^2(t)dt]$.

Solving a Stochastic PDE with two variables in time

How can I formally arrive at solution of "deterministic SDE"

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