user7762

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26 Questions

 7 Ito integral of a Brownian Motion w.r.t. an independent Brownian Motion. 7 Is $(B_{t}+t)^{2}$ a Markov process? 5 Show that the integrator in a Lebesgue-Stieltjes integration is zero 4 If $S_{t}$ satisfies $dS_{t}=\frac{1}{S_{t}}1_{(S_{t}>0)}dB_{t}$, will $S_{t}$ be a martingale? 4 For $X_{t}=\exp\left\{\left(\mu-r-\frac{\sigma^{2}}{2}\right)t+\sigma W_{t}\right\}$, do we have $\mathbb{E}[\int_{0}^{\tau_{b}}X_{s}dW_{s}]=0$?

382 Reputation

 +5 For $X_{t}=\exp\left\{\left(\mu-r-\frac{\sigma^{2}}{2}\right)t+\sigma W_{t}\right\}$, do we have $\mathbb{E}[\int_{0}^{\tau_{b}}X_{s}dW_{s}]=0$? +5 If $S_{t}$ satisfies $dS_{t}=\frac{1}{S_{t}}1_{(S_{t}>0)}dB_{t}$, will $S_{t}$ be a martingale? +10 Hölder estimate of solution to linear parabolic PDE +5 Hölder estimate of solution to linear parabolic PDE

 1 Hölder estimate of solution to linear parabolic PDE

22 Tags

 1 holder-spaces × 3 0 differential-equations × 3 1 pde × 2 0 differential-geometry × 2 0 probability-theory × 11 0 analysis × 2 0 stochastic-calculus × 7 0 calculus × 2 0 stochastic-processes × 4 0 markov-process × 2

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