# Questions tagged [brownian-motion]

Questions related to Brownian motion, a continuous stochastic process denoted by $W_t$, $t\geq 0$, with independent increments, such that $W(t)-W(s)$ is normally distributed, with $0$ mean and variance $t-s$.

235 questions
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### Integral of Brownian motion is Gaussian?

Let $(W_t)$ be a standard Brownian motion, so that $W_t \sim N(0,t)$. I'm trying to show that the random variable defined by $Z_t = \int_0^t W_s \ ds$ is a Gaussian random variable, but have not ...
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### Wiener Process $dB^2=dt$

Why is $dB^2=dt$? Every online source I've come across lists this as an exercise or just states it, but why isn't this ever explicitly proved? I know that $dB=\sqrt{dt}Z$, but I don't know what ...
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### What is the importance of the infinitesimal generator of Brownian motion?

I have read that the infinitesimal generator of Brownian motion is $\frac{1}{2}\small\triangle$. Unfortunately, I have no background in semigroup theory, and the expositions of semigroup theory I have ...
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### Density of first hitting time of Brownian motion with drift

I just started learning about Brownian motion and I am struggling with this question: Suppose that $X_t = B_t + ct$, where $B$ is a Brownian motion, $c$ is a constant. Set $H_a = \inf \{ t: X_t =a \}$...
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### Is $(B_t^2)$ Markov where $(B_t)$ is Brownian motion?

I am pretty sure $(B_{t}^{2})$ not Markov because the squared random walk is not. Showing the square of a Markov process is or isn't Markov I guess I can repeat the method since to be Markov it ...
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### Integral representation $B_T^3$

I have to find a $F_t$ such that $B_T^3=E[B_T^3]+\int_0^T F_t dB_t$. I have shown by ito formula that $B_T^3=\int_0^T 3 B_s^2 dB_s+\int_0^T 3 B_s ds$. Could you please help me?
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### Brownian motions under different filtrations, quadratic covariation, covergence of approximating sum

This question has been posted on MO for a few days and I have not received any answer. Let $(B_t^i,\mathcal F_t^i)$, $i=1,2$ be two Brownian motions. Suppose the filtration $\{\mathcal F_t^1\}$ is ...
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### How to show stochastic differential equation is given by an equation

I I tried using substitution and I got an extra integral at the end and do not know how to proceed. Can anyone help me to break this down?
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### Can I apply the Girsanov theorem to an Ornstein-Uhlenbeck process?

Let $W_t$ be a standard Brownian motion, and $X_t$ a measurable adapted process. Girsanov's theorem says that under certain conditions, the Brownian motion with drift $Y_t = W_t - \int_0^t X_s\,ds$ ...
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### Implementing Ornstein–Uhlenbeck in Matlab

I am reading this article on Wikipedia, where three sample paths of different OU-processes are plotted. I would like to do the same to learn how this works, but I face troubles implementing it in ...
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### Stochastic Integrals are confusing me; Please explain how to compute $\int W_sdW_s$ for example

I have been trying hard to understand this topic, but only failing.Reading through my lecture notes and online videos about stochastic integration but I just can't wrap my head around it. The main ...
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### Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$

Solve the SDE: $dX(t) = udt + \sigma X(t)dB(t)$ Provided Question The SDE is $dX(t) = udt + \sigma X(t)dB(t)$. Find $X(t)$, where $X(t)$ is some stochastic process and $B(t)$ is a Wiener process. ...
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### No drift brownian motion problem

Given two same brownian motion with no drift and different variances: $$dG_1= \sigma_1 G_1 dW$$ $$dG_2= \sigma_2 G_2 dW$$ and two barriers $P_1 > P_2$ assuming that $\sigma_1 > \sigma_2$ ...
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### fractional Brownian motion is not a semimartingale. How to apply Ergodic theorem in the proof of this theorem?

Here is the proof of the theorem. I couldn't understand how to apply Ergodic theorem in this proof. Let $X=(X_t)_{t\geq0}$ be a fractional Brownian motion with self-similar parameter $H\in(0,1)$. We ...
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### Prove $A_t := W_t^3-3t W_t$ a martingale

Given prob space $(\Omega, \mathscr{F}, P)$ and a Wiener process $(W_t)_{t \geq 0}$, define filtration $\mathscr{F}_t = \sigma(W_u : u \leq t)$ Let $(A_t)_{t \geq 0}$ where $A_t = W_t^3 - 3tW_t$. ...
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### expectation of $\int_0^t W_s^2 dW_s$ (integral of square of brownian wrt to brownian)

Looking for answers on the site I came across this answer with 3 upvotes where I am having trouble to understand an integral. Having not enough reputation (SE requires 50 reputation at least and I did ...
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### Is the condition “sample paths are continuous” an appropriate part of the “characterization” of the Wiener process?

Wikipedia has separate articles on "Brownian motion" and "Wiener process" (http://en.wikipedia.org/wiki/Brownian_motion and http://en.wikipedia.org/wiki/Wiener_process ). I am not an expert, but that ...
$B$ being standard Brownian motion, its running maximum is defined as $M_t = \sup_{0\leq s\leq t} B_s$. I am trying to follow the proof of the following result but I don't understand some of the steps ...
I have a question about Novikov's condition. Let $L$ be a local martingale such that either $\exp \left(\frac{1}{2}L \right)$ is a submartingale or \$E[\exp\left(\frac{1}{2} \langle L,L \rangle_{t} \...