Skip to main content
UBM's user avatar
UBM's user avatar
UBM's user avatar
UBM
  • Member for 7 years, 2 months
  • Last seen more than a month ago
5 votes
Accepted

Radon Nikodym Derivative for conditional expectation?

4 votes
Accepted

What is $E[E[Y|X]|X]$?

4 votes
Accepted

Square integrable integral by Brownian motion is martingale

4 votes

Give a example where the opposite direction of $\mathbb{E}|X_{n}-X|^{2}\rightarrow 0 \Rightarrow X_{n}\overset{(p)}{\rightarrow} X$ is not available.

3 votes
Accepted

probability a brownian motion is between two numbers

3 votes
Accepted

Easy question on stochastic integral

3 votes

How to prove that $\lim_{n\to\infty} \mathbb{E}\int_0^T|\Delta_n(t) -W(t)|^2dt = 0?$

3 votes
Accepted

Using Ito Isometry to find the mean and variance of an Ito Stochastic Integral

3 votes

Expectation of Ito Integrals.

3 votes
Accepted

Stochastic calculus: upper bound given Lipschitz drift and diffusion

3 votes
Accepted

Why is that a Cauchy sequence in $L^2(\mathbb{P})$, by $(1)$?

3 votes
Accepted

Can a process with a stochastic drift be a martingale?

3 votes
Accepted

Ito-Doeblin Formula (a step involved in the derivation)

3 votes
Accepted

How do you find the variance of an Ito Integral?

3 votes

Proof of a maximal inequality

2 votes
Accepted

How can I get the integral process with its quadratic variation?

2 votes

Fubini's Theorem and Stochastic (Ito) Integrals

2 votes
Accepted

Expectation and variance of (this) yet another stochastic process

2 votes
Accepted

Let $f\in\mathcal{L}^1(\mathbb{X},\Sigma,\mu)$ Prove the transformation $A\to\int_Afd\mu$ for $A\in\Sigma$ is sigma additive.

2 votes
Accepted

Inequality with local martingale (find sharp estimate for $\mathbb{P}(M_t\geq \alpha)$)

2 votes

Quadratic variation of a process

2 votes
Accepted

Expected value of exponent of two stochastic integrals

2 votes
Accepted

Reltationship between time inhomogeneity of Ito Diffusion and Strong Markov Property

1 vote
Accepted

A case where a stochastic exponential is a true martingale

1 vote
Accepted

Martingale assumption

1 vote
Accepted

How to solve this stochastic differential equation without $f$ in the drift?

1 vote
Accepted

if $M$ is a UI - martingale then $M_t \rightarrow M_{\infty}$ in $L^1$

1 vote

Is the integral of a modification of a stochastic process equal to the integral of the original process?

1 vote
Accepted

Proof: Brownian motion has no intervals of monotonicity

1 vote
Accepted

Using various inequalities to prove this martingale inequality?