Newbetuts
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New posts in stochastic-analysis
Relative entropy for martingale measures
probability-theory
stochastic-processes
stochastic-analysis
entropy
local-martingales
A question involving Lindeberg-Levy CLT
probability-theory
stochastic-processes
weak-convergence
stochastic-analysis
central-limit-theorem
Showing an identity of two uniform distributed random variables by using characteristic functions and the inversion formula
probability-theory
stochastic-calculus
stochastic-analysis
characteristic-functions
Why is the drift of the stock price not important for options pricing?
probability-theory
stochastic-processes
brownian-motion
finance
stochastic-analysis
Could someone explain rough path theory? More specifically, what is the higher ordered "area process" and what information is it giving us?
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-analysis
rough-path-theory
How to calculate the jump of $e^{{\rm i}N_ty-\operatorname E[N_t](e^{{\rm i}y}-1)}$ for a Poisson process $N$?
limits
probability-theory
stochastic-processes
exponential-function
stochastic-analysis
How to show that $dX_{t} = \sqrt{2c\lambda} dB_{t}-\lambda X_{t}dt$ has the following solution
probability
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-analysis
Drawing Balls of Different Colors from an Urn
probability
combinatorics
stochastic-analysis
Why predictable processes?
stochastic-processes
stochastic-calculus
finance
stochastic-integrals
stochastic-analysis
What is "white noise" and how is it related to the Brownian motion?
functional-analysis
probability-theory
stochastic-processes
brownian-motion
stochastic-analysis
Why do we unavoidably (or not) use Riemann integral to define Itô integral?
probability-theory
brownian-motion
stochastic-analysis
If $x$ is a càdlàg function and $f$ has compact support, how can we approximate $\sum_{s\in(a,\:b]}f(\Delta x(t))$?
real-analysis
sequences-and-series
functional-analysis
continuity
stochastic-analysis
Brownian bridge sde
integration
stochastic-processes
stochastic-calculus
stochastic-analysis
Is a right-continuous function on a compact space even "uniformly right-continuous"?
real-analysis
functional-analysis
continuity
uniform-continuity
stochastic-analysis
Trouble with extending Doob's Optional Stopping Theorem
probability-theory
stochastic-processes
martingales
stochastic-analysis
stopping-times
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