# Questions tagged [stochastic-calculus]

Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly.

263 questions
4k views

### 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 ...
936 views

### Prove directly from the definition of the Ito's integral

I am trying to solve the exercises from the book Stochastic differential equations -An Introduction with applications by Bernt Oksendal and I am stuck on 1 question. Prove directly from the ...
5k views

### Angle bracket and sharp bracket for discontinuous processes

The question is quite simple actually. I am trying to understand the differences between the angle bracket $\left<X,Y\right>$ of two processes with jumps $X,Y$, and the sharp bracket of $[X,Y]$. ...
404 views

### Solving the SDE $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$

How to solve $dX(t) = (c(t) + d(t)X(t))dt + (e(t) + f(t)X(t))dW(t)$ together with the initial condition $X(0) = X_0$.
557 views

### Thinning a Renewal Process - Poisson Generalization

If we have a Poisson point process with rate $\lambda$ and we keep each of its point with probability $p$, we obtain another Poisson point process with rate $\lambda p$. Does this result holds for a ...
3k views

### Stochastic calculus book recommendation

I'm a quantitative researcher at a financial company. I have a PhD in math, but I'm an algebraist, so I only took the two required analysis courses in grad school (measure theory for the first, and I ...
464 views

382 views

### (Ito lemma proof): convergence of $\sum_{i=0}^{n-1}f(W(t_{i}))(W(t_{i+1})-W(t_{i}))^{2}.$

The purpose of this question is to complete my personal exposition on the rigorous proof of Ito's lemma. I have consulted more than half a dozen mathematical finance texts and not a single one, for ...
837 views

### Probability Brownian motion is positive at two points

Let $0<s<t$ and $(B_r)_r$ is Brownian motion. Does anybody know what $P(B_s>0,B_t>0)$ is? I think I remember it was some $arctan$-law but I don't know the exact form. So I do not need a ...
297 views

### Is the distribution of an Ito diffusion at time t absolutely continuous wrt Lebesgue measure?

Suppose we have an sde of the form: \begin{eqnarray} dX_t=b(X_t)dX_t + \sigma (X_t)dB_t \end{eqnarray} where $b$ and $\sigma$ are Lipschitz. Then we have existence and uniqueness of the solution $X_t$...
114 views

122 views

### 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 $\sigma_1 > \sigma_2$ ...
I want to show the following: Let $W_t$ be a 1 dimensions brownian motion and $V_t= \int_{0}^{t} W_sds.$ Prove that the pair $(W_t,V_t)$ is a two-dimensional Markov process. I know that the ...
I've a question concerning the superposition of renewal processes. Assume we have $n$ independent renewal processes with the same lifetime distribution (especially mean $\mu$ and variance $\sigma^2$). ...