4
votes
1answer
105 views

Karatzas and Shreve Problem 3.3.38

Let $X$ be a continuous process and $A$ a continuous, increasing process with $X_0 = A_0 = 0$, a.s. Suppose that for every $\theta \in \mathbb{R}$, the process $$Z_t^{\theta} = ...
1
vote
1answer
116 views

Exercise 3.3.25 of Karatzas and Shreve

This is the Exercise 3.25 of Karatzas and Shreve on page 163 Whith $W=\{W_t, \mathcal F_t; 0\leq t<\infty\}$ a standard, one-dimensional Brownian motion and $X$ a measurable, adapted process ...
1
vote
0answers
165 views

Determining a square integrable martingale

I'm preparing for an exam in my course Martingales & Stochastic Integrals. Currently I'm having a look at some old exams, and there's a question on one of them that I'm not able to figure out. The ...
0
votes
0answers
200 views

Exercises for “Limit Theorems for stochastic processes”

I am reading the book of Jacod and Shiryaev: Limit Theorems for Stochastic Processes. But there are no exercises in this book. Does anyone know a good source with exercises?
3
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1answer
524 views

Exercises on stochastic calculus

Where I can find exercises on stochastic calculus (stochastic integration, SDE)? I'm mostly interested in medium difficulty exercises, preferably not proof-oriented, ideally with solutions. I've ...