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New posts in stochastic-calculus
Itô's formula application
stochastic-calculus
stochastic-integrals
Clarification on bounded variation of the terms in the Ito's formula as per Ikeda and Watanabe's book
stochastic-processes
stochastic-calculus
bounded-variation
quadratic-variation
How to deal with $\mathbb{E}\left[\left(\int\limits_0^tW_u^2 u^2\partial u\right)^2\right]$.
stochastic-processes
stochastic-calculus
stochastic-integrals
Infinitesimal generator of the Brownian motion on a sphere
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-differential-equations
Why are SDEs wrt different variables?
stochastic-calculus
stochastic-differential-equations
Why does Brownian motion have drift on Riemannian Manifolds?
differential-geometry
stochastic-processes
riemannian-geometry
stochastic-calculus
brownian-motion
Why isn't the Ito integral just the Riemann-Stieltjes integral?
stochastic-calculus
stochastic-integrals
Infinitesimal Generator of Ito Diffusion Process
stochastic-processes
stochastic-calculus
stochastic-analysis
semigroup-of-operators
How can I show that this stochastic process satisfies the heat equation?
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-integrals
Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$
stochastic-processes
stochastic-calculus
stochastic-differential-equations
Physical meaning of Ito integrals
stochastic-calculus
Where to begin in approaching Stochastic Calculus?
probability-theory
education
stochastic-calculus
How to use integration by parts in an example
stochastic-calculus
stochastic-integrals
Expectation of Exit Time of Brownian Motion from Interval
probability
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
Expected value of average of Brownian motion
probability
brownian-motion
stochastic-calculus
In stochastic calculus, why do we have $(dt)^2=0$ and other results?
stochastic-processes
stochastic-calculus
finance
Limit of a Wiener integral
probability-theory
stochastic-processes
stochastic-calculus
stochastic-integrals
Name of the formula transforming general SDE to linear
stochastic-calculus
stochastic-differential-equations
How to calculate the PSD of a stochastic process
fourier-analysis
stochastic-calculus
brownian-motion
How is $ P(-\sqrt{y} \leq X \leq \sqrt{y}) = P(X \leq \sqrt{y}) - P(X < -\sqrt{y})$?
probability
statistics
probability-distributions
stochastic-calculus
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