**16**

votes

**5**answers

2k views

### Brownian motion and spheres

Consider a Brownian motion on $[0;1]$. A (finite) discrete approximation of this Brownian motion consists of $N$ iid Gaussian random variables $\Delta W_i$ of variance $\frac{1}{N}$:
$$ ...

**5**

votes

**3**answers

532 views

### A non-degenerate martingale

Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which
$\mathcal{F}_t$ is filtration satisfying general conditions.
$W_t$ is
a standard Brownian motion.
Let $Y_t$ be a martingale given by
...

**3**

votes

**2**answers

386 views

### How to integrate an exponential function of an exponential function?

Does any one know how to calculate the following integration?
$$
\int_{\mathbb{R}} \left(\exp(z \: e^{-y^2})-1\right)^2 dy=?,\quad z>0.
$$
This post is related to my previous question here , ...

**4**

votes

**2**answers

176 views

### Average Value of Area Closed by Brownian Motion

Two dimensional brownian motion will intersect its own path infinitly many times. What is the average value of area, closed by curve during an intersection in brownian motion?

**0**

votes

**2**answers

372 views

### Representation theorem for continuous uniformly integrable martingales

For some time $u$ and positive continuous process $a_t$ adapted to $\mathcal{F}_t$ I have a (continuous-time) martingale defined as:
$$M_t(u) = \mathbb{E}[a_u | \mathcal{F}_t]$$
for $t\leq u$. I ...