user13655

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123 reputation

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visits	member for	1 year, 10 months
	seen	May 16 at 16:46
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15 Questions

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4	Calculating $\mathbb{E}[\int_0^T N_{t-} dS_t]$ - an expectation of a simple stochastic integral.
4	Computing complex principal value integral - sgn-function?
3	Integrating the inverse of a squared bessel process - integrability
3	Futures pricing and futures price process under the real world measure
2	How to check if a process is a semimartingale?

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123 Reputation

+5	space-time process of an non-homogeneous markov process is a homogeneous markov process
+5	Cylindrical sigma algebra answers countable questions only.
+5	Stochastic Exponential: $dZ=-\lambda Z dM + dL$ to $dZ=-\lambda Z dM + Zd\tilde{L}$ while $\tilde{L}$ is still orthogonal to $M$
+10	Ito Process $\Longrightarrow$ continuous semimartingale

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11 Answers

votes activity newest

1	Ito Process $\Longrightarrow$ continuous semimartingale
1	Condition for existence of a stochastic differential equation
1	Futures pricing and futures price process under the real world measure
1	Integration Order Reversal
1	Correlated Brownian motion and Poisson process

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28 Tags

4 stochastic-integrals × 11	1 calculus × 3
2 stochastic-processes × 13	1 finance × 3
2 stochastic-analysis × 8	1 brownian-motion
2 stochastic-calculus × 8	1 homework
1 probability × 8	0 probability-theory × 2

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5 Accounts

	Mathematica	127 rep	6
$Mathematics Stack Exchange$	Mathematics	123 rep	8
	Cross Validated	60 rep	5
	Quantitative Finance	18 rep	3
	Stack Overflow	1 rep

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