# Tagged Questions

**4**

votes

**1**answer

271 views

### Trajectorial version of Doob's $L^2$ inequality

In the paper http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0154.pdf
you can find a trajectorial version of Doob's inequality. It is given by:
...

**1**

vote

**1**answer

309 views

### Solving an Ornstein-Uhlenbeck-like SDE $y(t,T)=H_t + \mathbb{E}[\int_t^T y(s-,T)dX_s|\mathcal{F}_t]$

I have asked a similar question involving some finance background some time ago here math.stackexchange, however no really good answer came up. I was able to find a solution at least for a special ...

**1**

vote

**2**answers

176 views

### market completion in stochastic volatility model

Hi all,
Consider a stochastic volatility model. As there are two sources of risk and one asset only, this is an imcomplete market. One can complete the market by considering a derivative V1 used to ...

**1**

vote

**0**answers

99 views

### stochastic volatility valuation equation

I'm trying to derive the valuation equation under a general stochastic volatility model. What one can read in the litterature is the following reasonning:
One consider a replicating self-financing ...

**5**

votes

**1**answer

319 views

### Stieltjes integrals of predictable processes

I am looking for a direct proof of the fact that, roughly speaking, if $S=S_0+A+M$ is an $L^2$ semimartingale, and $M$ (the martingale part) has the martingale representation property, then for any ...

**6**

votes

**1**answer

2k views

### Big picture concerning Ito integral, Stratonovich integral and standard results in probability theory

I am confused and don't get the big picture concerning the connection between
Ito integral
Stratonovich integral
Standard results in probability theory concerning skewed distributions.
Example: ...

**9**

votes

**2**answers

2k views

### Convergence and non-convergence of left-point and mid-point Riemann sums

In standard calculus it is a well known fact that left-point and mid-point Riemann sums do become equal in the limit. When it comes to stochastic integration this is no longer the case. Taking the ...

**6**

votes

**5**answers

2k views

### Discrete version of Ito's lemma

Could anyone give me some references where I could find
(a) discrete version(s) of Ito's lemma
(b) a proof how it converges to the continuous form in the limit
(c) its usage within stochastic ...

**3**

votes

**2**answers

466 views

### maximizing function (stochastic calculus)

S is a price process which follows Geometric Brownian motion with no drift:
dS=S*vol*dW, vol=const., W is a Wiener process.
Define the following ratio: R=E[Max(f(S)-S(T),0)]/E[f(S)], where S(T) is ...