New posts in Stochastic Calculus

Show that this process is not a martingale

Good papers on stochastic differential equations with applications in finance

How to prove Feller property without using heat kernel estimates

Reference for Feynman-Kac

Does there exist a stochastic time derivative?

Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion

What are the difference between modeling with stochastic differential equations (SDE) and ordinary differential equations (ODE) with a random force?

What is the optimal growth of the constant in BDG?

Intuition and/or visualisation of Ito integral/Ito's lemma

Discrete version of Ito's lemma