Question

Doob-Meyer decomposition for a biased compound Poisson process?

score 272 · Answer 1 · 2026-03-29 03:27:37

272

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Doob-Meyer decomposition for a biased compound Poisson process?

Published on 29 Mar 2026 - 3:27

score 1.5k · Answer 2 · 2026-03-28 22:24:54

1.5k

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Understanding Martingales

Published on 28 Mar 2026 - 22:24

score 30 · Answer 3 · 2026-03-27 10:12:02

30

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$E_{Q^x}[f(X_{t_1})\cdot \cdot \cdot f(X_{t_k})]=E_{P^0}[f(X_{t_1}^x)\cdot \cdot \cdot f(X_{t_k}^x)]$ holds for an Ito diffusion

Published on 27 Mar 2026 - 10:12

score 29 · Answer 4 · 2026-03-29 18:32:48

29

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Showing the value functions for an N-player differential game solve a coupled system of parabolic PDE

Published on 29 Mar 2026 - 18:32

score 346 · Answer 5 · 2026-02-23 02:56:00

346

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Compute $E^{\mathbb{Q}} \left[ \exp(S_T) | \mathcal{F}_t \right] $ with exponential Vasicek Model (1978)

Published on 23 Feb 2026 - 2:56

score 44 · Answer 6 · 2019-08-19 09:06:33

44

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Why $\{\forall t\in [0,T], X_t\leq \alpha \}$ measurable if $(X_t)$ is càdlàg?

Published on 19 Aug 2019 - 9:06

score 35 · Answer 7 · 2019-08-19 14:43:46

35

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Why the sum of this following function is the linear function?

Published on 19 Aug 2019 - 14:43

score 116 · Answer 8 · 2026-03-29 18:30:27

116

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Mean field games and approximate Nash equilibria

Published on 29 Mar 2026 - 18:30

score 47 · Answer 9 · 2026-03-29 18:12:00

47

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Dominated stochastic processes with a common limit

Published on 29 Mar 2026 - 18:12

score 102 · Answer 10 · 2026-03-29 18:32:23

102

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Stochastic Calculus: are $E_t\left[X_T\right]$ and $E \left[ X_T | \mathcal{F}_t \right]$ equivalent?

Published on 29 Mar 2026 - 18:32

score 1.2k · Answer 11 · 2026-02-23 02:56:26

1.2k

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The Cox-Ingersoll-Ross Model (1985)

Published on 23 Feb 2026 - 2:56

score 31 · Answer 12 · 2019-08-21 06:10:07

31

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What is $\sigma\{X_j ; j=0,...n\}$ where $X_j$ are independent random variables

Published on 21 Aug 2019 - 6:10

score 1.5k · Answer 13 · 2026-03-26 03:13:35

1.5k

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Limiting distribution of $\frac1n \sum_{k=1}^{n}|S_{k-1}|(X_k^2 - 1)$ where $X_k$ are i.i.d standard normal

Published on 26 Mar 2026 - 3:13

score 233 · Answer 14 · 2026-03-26 17:32:53

233

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Variance of stochastic integral with respect to compensated Poisson process

Published on 26 Mar 2026 - 17:32

score 417 · Answer 15 · 2026-03-26 21:08:50

417

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Approximating a general process by a simple process in definition of integration wrt Brownian motion

Published on 26 Mar 2026 - 21:08

List Question

Doob-Meyer decomposition for a biased compound Poisson process?

Understanding Martingales

$E_{Q^x}[f(X_{t_1})\cdot \cdot \cdot f(X_{t_k})]=E_{P^0}[f(X_{t_1}^x)\cdot \cdot \cdot f(X_{t_k}^x)]$ holds for an Ito diffusion

Showing the value functions for an N-player differential game solve a coupled system of parabolic PDE

Compute $E^{\mathbb{Q}} \left[ \exp(S_T) | \mathcal{F}_t \right] $ with exponential Vasicek Model (1978)

Why $\{\forall t\in [0,T], X_t\leq \alpha \}$ measurable if $(X_t)$ is càdlàg?

Why the sum of this following function is the linear function?

Mean field games and approximate Nash equilibria

Dominated stochastic processes with a common limit

Stochastic Calculus: are $E_t\left[X_T\right]$ and $E \left[ X_T | \mathcal{F}_t \right]$ equivalent?

The Cox-Ingersoll-Ross Model (1985)

What is $\sigma\{X_j ; j=0,...n\}$ where $X_j$ are independent random variables

Limiting distribution of $\frac1n \sum_{k=1}^{n}|S_{k-1}|(X_k^2 - 1)$ where $X_k$ are i.i.d standard normal

Variance of stochastic integral with respect to compensated Poisson process

Approximating a general process by a simple process in definition of integration wrt Brownian motion

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