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Stochastic-calculus
New post in Stochastic-calculus
Second derivative of Brownian motion?
August 1st, 2022
calculus
stochastic-calculus
stochastic-processes
ordinary-differential-equations
probability
Using Ito's Lemma with more than one brownian motion term
June 22nd, 2020
stochastic-calculus
brownian-motion
Itô process and covariance of two Brownian motion
August 1st, 2022
stochastic-processes
brownian-motion
stochastic-calculus
Derivation of Kolmogorov Forward Equation
April 10th, 2020
stochastic-calculus
stochastic-analysis
Prove that a process with independent increments and a constant mean is a martingale
October 24th, 2020
stochastic-calculus
martingales
conditional-expectation
Expected value of geometric Brownian motion
July 24th, 2020
stochastic-processes
stochastic-integrals
stochastic-analysis
stochastic-pde
stochastic-calculus
Expectation of absolute value of stationary time series
August 1st, 2022
stochastic-calculus
probability
stochastic-processes
expectation
time-series
Joint Distribution of two correlated ito integral
August 1st, 2022
probability-distributions
brownian-motion
stochastic-processes
stochastic-calculus
Conditions for Expectation of Ito Integral to have Expectation 0
August 1st, 2022
stochastic-integrals
stochastic-calculus
Expectation of the first passage time of $T_{a,b}$
August 1st, 2022
stochastic-processes
brownian-motion
stochastic-calculus
Quadratic Variation Brownian motion martingale (2)
August 1st, 2022
probability-theory
stochastic-calculus
martingales
stochastic-analysis
Expectation of product of stochastic integral and brownian motion
May 19th, 2020
stochastic-calculus
brownian-motion
expectation
stochastic-integrals
Why is $dW^2=dt$ in stochastic calculus?(do not use Ito’ Lemma),
December 13th, 2020
stochastic-calculus
stochastic-processes
stochastic-integrals
Ito Differential Equation example
August 1st, 2022
stochastic-calculus
ordinary-differential-equations
stochastic-processes
random-variables
Quadratic covariation of two Itô processes
January 21st, 2021
quadratic-variation
probability-theory
stochastic-processes
stochastic-calculus
derive integration by parts for a stochastic integral
February 2nd, 2020
stochastic-calculus
stochastic-integrals
probability-theory
stochastic-processes
brownian-motion
Expectation of the integral of e to the power a brownian motion with respect to the brownian motion
August 1st, 2022
ordinary-differential-equations
stochastic-calculus
4th moment of a Wiener stochastic integral?
January 16th, 2020
brownian-motion
probability-theory
stochastic-integrals
stochastic-calculus
Proof that a median minimizes 1-norm.
March 5th, 2020
probability-theory
stochastic-calculus
calculus
real-analysis
statistics
Show that this continuous local martingale is a martingale
December 9th, 2020
stochastic-integrals
martingales
stochastic-calculus
superlinear and convex function
August 1st, 2022
stochastic-calculus
Joint density $X^2+Y^2$
August 1st, 2022
stochastic-calculus
random-variables
Conditional Expectation of the Vasicek Model
September 9th, 2020
stochastic-calculus
Multi-dimensional Feynman Kac Theorem
August 12th, 2020
stochastic-processes
reference-request
stochastic-calculus
Finding mean and variance of stochastic process
August 1st, 2022
ordinary-differential-equations
stochastic-calculus
stochastic-processes
statistics
How to differentiate the Black-Scholes formula w.r.t. volatility
August 1st, 2022
stochastic-calculus
finance
Applying the Multivariate Ito Formula
July 3rd, 2020
stochastic-processes
stochastic-integrals
brownian-motion
stochastic-calculus
Definition of stochastic integral, square integrable function
November 20th, 2020
stochastic-integrals
stochastic-calculus
If given the Vasicek Interest rate model $dR(t)=(\alpha-\beta R(t))dt +\sigma dW(t)$ how do I use Ito's lemma to find $d(e^{\beta t}R(t))$?
March 27th, 2020
brownian-motion
stochastic-calculus
ordinary-differential-equations
Calculate the expection and variance using Ito's Lemma
August 9th, 2022
stochastic-calculus
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