New posts in Brownian Motion

Prove that $f_n(B_{\tau_1 } , \dots, B_{\tau_{n-1 }}, -1) < B_{\tau_{n-1 }} < f_n(B_{\tau_1 } , \dots, B_{\tau_{n-1 }}, 1)$

Wald’s identity for Brownian motion with $E[\sqrt T]<\infty$.

Is Ito's lemma also valid with stopped integrals?

Is $W^2-t$ martingale?

Probability of $B_t < 0$ if $B$ is Brownian Motion

Find the quadratic variation process of $\int f(s) \, dB_s$

If $W_t$ is a Wiener process, what is $ \operatorname{Var}(W_t+W_s)$?

Conditional expectation for Brownian motion

Why is $\int_0^t t \, dW_s$ not a martingale?

Stochastic Differential Equation solution for Geometric Brownian Motion