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New posts in stochastic-calculus
Quadratic variation and measure change
stochastic-calculus
brownian-motion
absolute-continuity
quadratic-variation
Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$
probability-theory
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-differential-equations
Itō Integral has expectation zero
stochastic-integrals
stochastic-calculus
Stochastic calculus book recommendation
stochastic-calculus
finance
book-recommendation
Uniqueness of Brownian motion
probability-theory
measure-theory
stochastic-calculus
brownian-motion
What are the prerequisites for stochastic calculus?
stochastic-calculus
self-learning
Brownian bridge sde
integration
stochastic-processes
stochastic-calculus
stochastic-analysis
Intuition for random variable being $\sigma$-algebra measurable?
probability-theory
stochastic-processes
stochastic-calculus
intuition
Prove directly from the definition of the Ito's integral
stochastic-calculus
stochastic-integrals
Angle bracket and sharp bracket for discontinuous processes
stochastic-processes
stochastic-calculus
quadratic-variation
Wiener Process $dB^2=dt$
stochastic-processes
stochastic-calculus
brownian-motion
Geometric Brownian motion and its inverse
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
stochastic-differential-equations
Showing that $X(t)=\int_0^tB(s)ds $ is a Gaussian process.
probability
probability-theory
stochastic-processes
stochastic-calculus
brownian-motion
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