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Amira
  • Member for 6 years, 11 months
  • Last seen more than a week ago
  • The Netherlands
4 votes
0 answers
186 views

Prove the following stopping time Cannot be a predictable stopping time.

4 votes
0 answers
90 views

Expectation of the exponential of the amount of time a Brownian motion spent in half space

4 votes
0 answers
164 views

Solving a PDE from the Feymann-Kac formula

3 votes
3 answers
159 views

Explicit solution for the expectation of inverse of the exponential of normal random variable

2 votes
0 answers
24 views

General solution for ''homogeneous and linear PDE''

2 votes
1 answer
91 views

Prove the equality $\mathbb{E}[(X_s^2-\mathbb{E}[X_s^2])(X_t^2-\mathbb{E}[X_t^2])]=2\mathbb{E}[X_sX_t]^2$

2 votes
0 answers
72 views

Stochastic exponential of a true martingale is also a true martingale?

2 votes
0 answers
38 views

Expectation of share of Geometric Brownian motions

2 votes
1 answer
158 views

Is the local time of the reflected SDE Markovian?

2 votes
0 answers
42 views

Coin toss: probability of "maximum difference between heads and tail not to exceed a boundary"

1 vote
0 answers
153 views

Comparison theorem for the following linear SDE

1 vote
0 answers
92 views

Extend $C^2$ functions while preserve its first derivative at the boundary

1 vote
1 answer
384 views

Prove $\mathrm{Cov}[f(X),g(Y)]^2\leq E[XY]^2\mathrm{Var}[f(X)]\mathrm{Var}[g(Y)]$ if $X$ and $Y$ are standard normal

1 vote
1 answer
176 views

Quotient of dY_t/d_X_t makes sense?

1 vote
0 answers
53 views

Compare expectations of two processes

1 vote
0 answers
168 views

A right-continuous non-decreasing process is cadlag?

1 vote
3 answers
53 views

Simplification of proof for $\exists c>0$ such that $|x+y|\leq c(1+\sqrt{x^2+y^2})$

1 vote
0 answers
91 views

Uniqueness for autonomous ODE with discontinuous coefficient

1 vote
0 answers
61 views

Conditional expectation of the exponential of the integral of a diffusion

1 vote
1 answer
138 views

Can any càdlàg function be decoomposed into a continuous part and a discontinuous part?

1 vote
1 answer
48 views

$\lim_{y\downarrow 0}F\left(f(y),y\right)=\lim_{y\downarrow 0}F(\lim_{\tilde y\downarrow 0}f(\tilde y),y)?$ [closed]

1 vote
0 answers
78 views

Expectation of the exponential of the sum of Brownian motion and the time it spent above certain threshold

0 votes
1 answer
23 views

Doob-Meyer decomposition of number of times the diffusion cross a barrier

0 votes
2 answers
59 views

Does $f\in L^2(\mathbb{R}^p) $ imply $ f(\cdot , x) \in L^2(\mathbb{R}^{p-1})$?(answered) [closed]

0 votes
0 answers
62 views

Natural filtration of a Markov process

0 votes
0 answers
29 views

Calculating expectation by change of probability measure

0 votes
0 answers
32 views

Three exponential random variables, given the correlations of two pairs, what is the correlation for the third pair?

0 votes
1 answer
595 views

Intersection of two independent sigma-algebras is trivial sigma-algebra?

0 votes
1 answer
25 views

Compare the limit of a sequence with the upper bound of the sequence as in Dominated convergence theorem

0 votes
3 answers
473 views

Find the 'best' upper bound