All Questions

Given $M$ a continuous local martingale, and $M^\text{*} = \sup_{0 \leq s \leq t} M_s$ its running maximum, we consider the finite variation integral $$ I_T:= \int_0^T (M^\text{*}_s - M_s) \, \text{d}...

Suppose that $\{a_n(x)\}_{n \in \mathbb{N}}$ is a sequence of real-valued Lipschitz functions with domain $\mathbb{R}^d$, which converges $m$-a.e. to a Lipschitz function $a$. Suppose that $b$ is a ...

Consider two diffusions given by $$X_j(t)=\int_0^t a_j(s,X_j(s))\,dW_s$$ for $j=1,2$ and $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and the $a_j$'s are smooth enough ...

Consider a diffusion given by $$X_t=\int_0^t a(s,X_s)\,dW_s$$ for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...

Is there an extension of Ito's Lemma where $X_t$ is a semi-martingale and $f:\mathbb{R}^d \rightarrow \mathbb{R}$ is a function which is not smooth? I've been looking but have not found much, any ...

Suppose I have two independent Brownian motions $B^1_t, B^2_t$ and $\mathbb F_t$ be the natural filtration generated by them. Let $T > 0$ be a fixed finite number. Let $q_t$ be a $[-1,1]$ valued $\...