New posts in stochastic-calculus

Problem 3.24 of "Brownian Motion & Stochastic Processes" by Karatzas and Shreve - Submartingales and stopping times

stochastic-processes stochastic-calculus martingales

Exit time of a stochastic process defined by a SDE

reference-request stochastic-processes stochastic-calculus stochastic-integrals stochastic-differential-equations

Example of an adapted but not progressively measurable process

probability probability-theory stochastic-processes stochastic-calculus

Is there a name for the stochastic integral using the right end of each interval?

probability stochastic-processes stochastic-calculus brownian-motion

Solving SDEs in a pathwise manner?

probability stochastic-processes stochastic-calculus stochastic-differential-equations

Integral of Brownian motion in a 2-d box

probability integration stochastic-processes stochastic-calculus brownian-motion

Application of the Burkholder Davis Gundy inequality

stochastic-processes stochastic-calculus stochastic-integrals stochastic-analysis

Does finite variance imply on a finite mean?

probability probability-theory probability-distributions stochastic-processes stochastic-calculus

Proving that the natural filtration of Brownian motion (not augmented) is not right-continuous

probability-theory stochastic-processes stochastic-calculus

Stochastic Differential Equation solution for Geometric Brownian Motion

stochastic-processes stochastic-calculus brownian-motion stochastic-integrals stochastic-differential-equations

A question about SDE and geometric Brownian motion.

stochastic-processes stochastic-calculus stochastic-differential-equations

Oksendal SDEs: What does he want from Exercise 2.1?

probability-theory stochastic-calculus

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

Analogue of Leibniz Rule for Stochastic Integrals

finance stochastic-integrals stochastic-calculus

Definition/Construction of Wiener Measure

probability-theory stochastic-processes stochastic-calculus stochastic-integrals stochastic-analysis

When is a stochastic integral a martingale?

probability-theory stochastic-processes stochastic-calculus stochastic-integrals stochastic-analysis

Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$

stochastic-calculus brownian-motion stochastic-integrals stochastic-differential-equations