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 Nov 10 accepted Integration of Wiener process: $\int_{t_1}^{t_2} dB(s)$ Nov 10 comment What is $57^{46}$ divided by 17? This answer is hilarious! Nov 10 comment Integration of Wiener process: $\int_{t_1}^{t_2} dB(s)$ @sos440 Is your identity true even for $\displaystyle \ \ \int_a^b \mathscr{\epsilon}(s)dB(s)$? (I don't know how to make that funny symbol you made). Nov 10 accepted Breaking up Wiener processes with indicator functions? Nov 10 comment Linear regression where undershooting isn't as bad as overshooting stats.stackexchange.com would be much more familiar with this literature. Nov 10 comment Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$ @mike That makes complete sense. But, are you 100% sure this is accurate in this instance? Nov 10 asked Integration of Wiener process: $\int_{t_1}^{t_2} dB(s)$ Nov 9 revised Probability of passing through 3 specific nodes along a binomial tree deleted 81 characters in body Nov 9 asked Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$ Nov 9 accepted Derive an SDE for $B^2(t)$, where $B(t)$ is standard Brownian Motion Nov 9 accepted Integrating $d(e^{-ut}X(t))$, where $X(t)$ is stochastic. Nov 9 asked Integrating $d(e^{-ut}X(t))$, where $X(t)$ is stochastic. Nov 9 asked Derive an SDE for $B^2(t)$, where $B(t)$ is standard Brownian Motion Nov 9 comment Finite p-th variation implies zero-valued q-th variation. @did Thanks. Do you have any tips on how to progress furtheR? Nov 9 revised Finite p-th variation implies zero-valued q-th variation. added 485 characters in body Nov 9 asked Finite p-th variation implies zero-valued q-th variation. Nov 9 comment Demonstrate that every martingale is a local martingale. @StefanHansen I think I don't understand what you mean by "one particular" sequence $(\sigma_n)_{n \in \mathbb{N}}$. Guessing what you mean; we can specify that each $\sigma_n = \text{inf}\{t \geq 0 : X_t = n\}$ where $X_{min(t,\sigma_n)}$ is the stopped process. However I can't see how this can help me solve the problem. Nov 9 comment Why is $\operatorname{sign} B_t$ a predictable process? What is the notation $(t,\omega)\mapsto X_t(\omega)$? Nov 9 awarded Critic Nov 8 comment Demonstrate that every martingale is a local martingale. @StefanHansen Could you please dumb down your criticism of my attempt? I wikipedia'd localization but couldn't relate it to what you're saying.