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New posts in brownian-motion
Consistency of a family of probabilities in the construction of a pre-brownian motion
probability-theory
measure-theory
brownian-motion
Area enclosed by 2-dimensional random curve
stochastic-processes
brownian-motion
stochastic-integrals
stochastic-analysis
Is there a name for the stochastic integral using the right end of each interval?
probability
stochastic-processes
stochastic-calculus
brownian-motion
Integral of Brownian motion in a 2-d box
probability
integration
stochastic-processes
stochastic-calculus
brownian-motion
Finding $\mathbb{P}(\max_{t\leq 1} (W_t+t)\geq 1)$
probability-theory
probability-distributions
stochastic-processes
brownian-motion
Definition of the Brownian motion
probability-theory
stochastic-processes
brownian-motion
Brownian motion and covariance
probability
brownian-motion
finance
Calculating the expecation of the supremum of absolute value of a Brownian motion
brownian-motion
absolute-value
supremum-and-infimum
expected-value
What is $\mathbb{E}[W(s)\mathrm{e}^{W(S)}]$ where W(S) is a standard Brownian Motion?
stochastic-processes
brownian-motion
Laplace transform of integrated geometric Brownian motion
probability
stochastic-processes
laplace-transform
brownian-motion
Sample path of Brownian Motion within epsilon distance of continuous function
probability-theory
brownian-motion
Stochastic Differential Equation solution for Geometric Brownian Motion
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-integrals
stochastic-differential-equations
A Brownian motion $B$ that is discontinuous at an independent, uniformly distributed random variable $U(0,1)$
probability-theory
stochastic-processes
brownian-motion
uniform-distribution
Calculation with Ito processes, what is $ds \, dt$, $dW_t \, ds$ and $dW_s \, dW_t$?
stochastic-processes
stochastic-calculus
brownian-motion
Quadratic variation of ito integral
stochastic-processes
stochastic-calculus
brownian-motion
quadratic-variation
Applying Ito formula to the Brownian bridge
brownian-motion
stochastic-integrals
stochastic-calculus
stochastic-analysis
Is a vector of independent Brownian motions a multivariate Brownian motion?
measure-theory
stochastic-processes
stochastic-calculus
brownian-motion
Strong Markov property of Brownian motion
probability
stochastic-processes
brownian-motion
markov-process
Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$
stochastic-calculus
brownian-motion
stochastic-integrals
stochastic-differential-equations
expectation of $\int_0^t W_s^2 dW_s $ (integral of square of brownian wrt to brownian)
stochastic-processes
expectation
brownian-motion
stochastic-integrals
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