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New posts in stochastic-calculus
Girsanov: Change of drift, that depends on the process
measure-theory
probability-theory
stochastic-calculus
stochastic-analysis
Show $\sigma_{X}^{2}(t)=\begin{cases} x_{0}\frac{\beta}{\alpha}e^{\alpha t}[e^{\alpha t}-1], & \alpha \neq 0\\ x_{0}\beta t, & \alpha = 0 \end{cases}$
real-analysis
probability
integration
improper-integrals
stochastic-calculus
Solving a stochastic differential equation with trigonometric functions
stochastic-calculus
stochastic-differential-equations
How to compute $E[W_t^4]$, with $W_t$ being a standard Wiener process
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-integrals
Calculate $\mathbb{E}(W_t^k)$ for a Brownian motion $(W_t)_{t \geq0}$ using Itô's Lemma
stochastic-calculus
brownian-motion
stochastic-integrals
What is the difference between "filtration for a Brownian motion" and "filtration generated by a Brownian motion"?
stochastic-processes
stochastic-calculus
Different versions of Girsanov theorems?
stochastic-processes
stochastic-calculus
Solution to General Linear SDE
probability-theory
stochastic-calculus
stochastic-analysis
stochastic-differential-equations
Covariance of Gaussian stochastic process
probability-theory
stochastic-processes
stochastic-calculus
stochastic-analysis
Brownian Motion and stochastic integration on the complete real line
probability
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-integrals
Higher math and statistics/probability
probability-theory
statistics
manifolds
stochastic-calculus
information-geometry
Is an SDE really equal to an integral equation, or is it rather "its integral" that is?
probability-theory
stochastic-processes
soft-question
stochastic-calculus
stochastic-differential-equations
Solve the linear SDE $dX_t = aX_t \, dt +(b+cX_t) \, dW_t$
stochastic-calculus
stochastic-differential-equations
Joint Distribution of Brownian Motion and its Time Integral
reference-request
stochastic-processes
stochastic-calculus
brownian-motion
Definition of predictable process
measure-theory
stochastic-processes
stochastic-calculus
Evaluating $\mathbb E [\lvert \frac{1}{B_{t}}\int\limits_{0}^{t} K_{s}dB_{s}\rvert ^{1/4}]$ as $t \to 0$
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-integrals
Uniform integrability of a backward submartingale
stochastic-processes
stochastic-calculus
stochastic-analysis
uniform-integrability
Itô's formula: Differential form
stochastic-calculus
stochastic-integrals
stochastic-analysis
Why do people simulate with Brownian motion instead of "Intuitive Brownian Motion"?
probability-theory
stochastic-calculus
stochastic-integrals
Understanding the definitions of weak and strong solutions in SDEs [duplicate]
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-differential-equations
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