New posts in Stochastic Calculus

A question about SDE and geometric Brownian motion.

Show that $E[ E[Z\lvert \mathcal{F}_{T}\lvert \mathcal{F}_{S}]=E[Z\lvert \mathcal{F}_{T\land S}]$

$(f(X_n))_{n \in \mathbb{N}_0}$ martingale implies $f'' = 0$?

Delta of options : A mathematical explanation

Generated Sigma Algebras

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?

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

Understand better stochastic integral through a.s. convergence