Paul

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330 reputation

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	location	Paris, France
	age	25
visits	member for	11 months
	seen	54 mins ago
stats	profile views	91

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32 Questions

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11	Limit of a Wiener integral
6	Very basic doubt about Itô's lemma
6	What is the probability that the center of the circle is contained within the triangle?
5	Smart demonstration to the formula $ \sum_{n=1} ^{N} \frac{n}{2^n} = \frac{-N + 2^{N+1}-2}{2^n}$
4	Upper bound concerning Snell envelope

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330 Reputation

+5	Proving that $ \int \left\| f-g \right\|~d\mu = 2\int_{A_0} (f-g)~d\mu$
+10	Gaussian vectors formula
-2	Explicit solution of a SDE
-2	Conditional expectation of a functional of an Itô's semimartingale under its equivalent martingale measure

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13 Answers

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3	Showing that $u(t,B_t)$ is a martingale for a polynomial $u$ with $\partial_t u =- (1/2)\Delta u$.
3	Strange form of Taylor's theorem
1	When is a stochastic process defined via a SDE Markovian?
1	variance of square of brownian motion increment
1	Distribution of the integral of a diffusion process

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25 Tags

4 stochastic-processes × 35	1 stochastic-integrals × 11
3 probability-theory × 27	1 probability × 9
3 stochastic-calculus × 25	1 probability-distributions
3 brownian-motion × 6	0 martingales × 2
3 real-analysis	0 circle

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