New posts in stochastic-integrals

Area enclosed by 2-dimensional random curve

stochastic-processes brownian-motion stochastic-integrals stochastic-analysis

Exit time of a stochastic process defined by a SDE

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

Application of the Burkholder Davis Gundy inequality

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

Some version of Itô isometry with conditional expectations

stochastic-processes martingales conditional-expectation stochastic-integrals isometry

Stochastic Differential Equation solution for Geometric Brownian Motion

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

Applying Ito formula to the Brownian bridge

brownian-motion stochastic-integrals stochastic-calculus stochastic-analysis

Prove $ \int_0^t 2X_s \ dX_s = X_t^2-X_0^2-\langle X, X\rangle_t $ WITHOUT Ito's formula

probability-theory martingales stochastic-integrals

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

expectation of $\int_0^t W_s^2 dW_s $ (integral of square of brownian wrt to brownian)

stochastic-processes expectation brownian-motion stochastic-integrals

ito vs Stratonovich

stochastic-integrals

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

Integral representation $B_T^3$

stochastic-processes brownian-motion stochastic-integrals stochastic-analysis

Brownian Motion and stochastic integration on the complete real line

probability stochastic-processes stochastic-calculus brownian-motion stochastic-integrals

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

Verifying Ito isometry for simple stochastic processes

stochastic-processes stochastic-integrals

Itô's formula: Differential form

stochastic-calculus stochastic-integrals stochastic-analysis