New posts in stochastic-integrals

Advanced statistics book

Brownian bridge expression for a Brownian motion

Expectation of geometric brownian motion

Integrate an indicator against Brownian motion

Could someone explain rough path theory? More specifically, what is the higher ordered "area process" and what information is it giving us?

How to show that $dX_{t} = \sqrt{2c\lambda} dB_{t}-\lambda X_{t}dt$ has the following solution

$n$-th power of stochastic exponential

Why predictable processes?

Show that $X_{t} = \sqrt{c}e^{-\lambda t}\beta_{e^{2\lambda t}}$ solves $dX_{t}=\sqrt{2c\lambda}dB_{t}-\lambda X_{t}dt$

Itō Integral has expectation zero

Prove directly from the definition of the Ito's integral

how to do such stochastic integration $dS = a S^b dt + c S dW$?

Integral of Brownian motion is Gaussian?