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New posts in stochastic-integrals
Advanced statistics book
statistics
book-recommendation
stochastic-integrals
hypothesis-testing
Brownian bridge expression for a Brownian motion
stochastic-processes
stochastic-integrals
brownian-motion
Expectation of geometric brownian motion
stochastic-integrals
Integrate an indicator against Brownian motion
stochastic-calculus
brownian-motion
stochastic-integrals
Could someone explain rough path theory? More specifically, what is the higher ordered "area process" and what information is it giving us?
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-analysis
rough-path-theory
How to show that $dX_{t} = \sqrt{2c\lambda} dB_{t}-\lambda X_{t}dt$ has the following solution
probability
stochastic-processes
stochastic-calculus
stochastic-integrals
stochastic-analysis
$n$-th power of stochastic exponential
probability-theory
stochastic-processes
stochastic-calculus
martingales
stochastic-integrals
Why predictable processes?
stochastic-processes
stochastic-calculus
finance
stochastic-integrals
stochastic-analysis
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
Prove directly from the definition of the Ito's integral
stochastic-calculus
stochastic-integrals
how to do such stochastic integration $dS = a S^b dt + c S dW$?
stochastic-integrals
stochastic-differential-equations
Integral of Brownian motion is Gaussian?
probability-theory
probability-distributions
brownian-motion
stochastic-integrals
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