User Chaos

6 votes

Computing expected value of a function along a Brownian Path

answered Jan 13, 2021 at 9:27

5 votes

Accepted

Showing Eigenvalues are non negative in a graph problem

answered Oct 29, 2018 at 21:07

4 votes

How do I manipulate this equation : $A(x^2+x)-B(x^2-x) = 4x^2-10x$ so i can solve for A and B?

answered Oct 23, 2018 at 11:31

4 votes

Accepted

Prove that $\left<X\right>_t=\int_0^t G_s^2ds$ where $X_t=\int_0^t F_sds+\int_0^t G_sdW_s$.

answered Apr 27, 2020 at 16:31

4 votes

Accepted

Understanding proof when equality holds in Minkowski's inequality

answered Nov 6, 2019 at 11:19

3 votes

Accepted

Stuck on proof of Uniqueness of SDE solution (Oksendal Thm. 5.2.1)

answered Feb 28, 2020 at 16:43

3 votes

Accepted

Prove that Ito process $dX_t=a(t)dt+b(t)dW_t$ is a martingale $\iff$ $a=0 dP\times dt$

answered Apr 3, 2020 at 20:31

3 votes

Accepted

I need help solving the differential equation $y'(t)+7\sin(t)y(t)=(te^{\cos(t)})^{7}$

answered Oct 30, 2018 at 14:01

3 votes

probability question - election

answered Oct 31, 2018 at 11:08

3 votes

What is the Malliavin derivative of the sum of two independent Brownian motions?

answered Sep 30, 2021 at 7:06

2 votes

Accepted

Malliavin integration by parts using Girsanov's theorem

answered Apr 5, 2021 at 11:50

2 votes

Accepted

What is the Malliavin derivative of $\int_0^T f(B(t))dB(t)$?

answered May 3, 2022 at 10:12

2 votes

Accepted

Definitions of the Stratonovich integral and why the "average" definition is arguably correct

answered Apr 13, 2022 at 9:59

2 votes

Accepted

Deriving the discretized equation of the Geometric Brownian Motion EDE

answered May 20, 2022 at 11:45

2 votes

Accepted

Cannot reconcile simple algebra problem

answered Nov 6, 2018 at 9:49

2 votes

Probability Question about Cholesterol

answered Nov 6, 2018 at 21:15

2 votes

Definition of the Derivative of a Function

answered Oct 29, 2018 at 12:21

2 votes

Accepted

Polynomial representation: Marsden's Identity.

answered Dec 8, 2018 at 12:25

2 votes

Accepted

Confusing Cauchy-Schwarz Inequality Proof

answered Apr 2, 2019 at 17:42

2 votes

Accepted

prove that process $Z_t=(\int_0^tf(s)dW_s)-\int_0^tf(s)g(s)ds$ is a local martingale

answered Apr 6, 2020 at 10:23

2 votes

Justifying "multiplying by a differential" or a random variable in a stochastic differential equation

answered May 7, 2020 at 11:20

2 votes

Accepted

Change of variable in Ito integral

answered Apr 20, 2020 at 8:33

2 votes

Accepted

Solution of SDE $dX(t)=a(t)dt+b(t)dW(t)$ is gaussian?

answered Feb 25, 2021 at 22:02

1 vote

Accepted

State which of the following Ito integrals exist, calculate its mean and variance.

answered Mar 17, 2021 at 14:29

1 vote

Accepted

Confusion about the difference of quadratic variations and the Lebesgue-Stieltjes Integral

answered Mar 25, 2020 at 15:10

1 vote

Probability Density of x

answered Dec 1, 2020 at 17:22

1 vote

Accepted

Ito integral definition of a elementary process

answered Apr 20, 2020 at 6:39

1 vote

Accepted

If $\hat{t}$ is a stopping time, provide an example illustrating how $(\hat{t}-1)\wedge 0$ is indeed not a stopping time

answered Apr 20, 2020 at 14:13

1 vote

Using Ito's Formula to Calculate dy

answered Apr 21, 2020 at 7:35

1 vote

Accepted

Ito's formula applied to a Ito integral

answered Sep 10, 2020 at 15:05

Stack Exchange Network

83 Answers

Computing expected value of a function along a Brownian Path

Showing Eigenvalues are non negative in a graph problem

How do I manipulate this equation : $A(x^2+x)-B(x^2-x) = 4x^2-10x$ so i can solve for A and B?

Prove that $\left<X\right>_t=\int_0^t G_s^2ds$ where $X_t=\int_0^t F_sds+\int_0^t G_sdW_s$.

Understanding proof when equality holds in Minkowski's inequality

Stuck on proof of Uniqueness of SDE solution (Oksendal Thm. 5.2.1)

Prove that Ito process $dX_t=a(t)dt+b(t)dW_t$ is a martingale $\iff$ $a=0 dP\times dt$

I need help solving the differential equation $y'(t)+7\sin(t)y(t)=(te^{\cos(t)})^{7}$

probability question - election

What is the Malliavin derivative of the sum of two independent Brownian motions?

Malliavin integration by parts using Girsanov's theorem

What is the Malliavin derivative of $\int_0^T f(B(t))dB(t)$?

Definitions of the Stratonovich integral and why the "average" definition is arguably correct

Deriving the discretized equation of the Geometric Brownian Motion EDE

Cannot reconcile simple algebra problem

Probability Question about Cholesterol

Definition of the Derivative of a Function

Polynomial representation: Marsden's Identity.

Confusing Cauchy-Schwarz Inequality Proof

prove that process $Z_t=(\int_0^tf(s)dW_s)-\int_0^tf(s)g(s)ds$ is a local martingale

Justifying "multiplying by a differential" or a random variable in a stochastic differential equation

Change of variable in Ito integral

Solution of SDE $dX(t)=a(t)dt+b(t)dW(t)$ is gaussian?

State which of the following Ito integrals exist, calculate its mean and variance.

Confusion about the difference of quadratic variations and the Lebesgue-Stieltjes Integral

Probability Density of x

Ito integral definition of a elementary process

If $\hat{t}$ is a stopping time, provide an example illustrating how $(\hat{t}-1)\wedge 0$ is indeed not a stopping time

Using Ito's Formula to Calculate dy

Ito's formula applied to a Ito integral