New posts in Stochastic Calculus

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?

Ito formula for jump-Diffusion

Stochastic Differential Equation solution for Geometric Brownian Motion

Why does Brownian motion have drift on Riemannian Manifolds?

How to calculate the PSD of a stochastic process

Problem 3.24 of "Brownian Motion & Stochastic Processes" by Karatzas and Shreve - Submartingales and stopping times

What are some easier books for studying martingale?

Implementing Ornstein–Uhlenbeck in Matlab