Stochastic Integral martingale if no $dt$ term?
73439
show that the solution is a local martingale iff it has zero drift
88226
Limit of a stochastic integral
97870
Conditional expectation in AR(1) process
118056
Limit of a Wiener integral
38324
Show that $E(X)=\int_{0}^{\infty}P(X\ge x)\,dx$ for non-negative random variable $X$
118588
"Continuity" of stochastic integral wrt Brownian motion
50163
Continuity of the  Ito integral
144146
find a $\int_{x}^{g(x)} f(t)\,dt = 1$
102286
Compute $\mathbb{P}\{ W_t < 0 \, \, \text{for all} \, \, 1 < t < 2\}$ for a Brownian motion $(W_t)_{t \geq 0}$
145136
When can we interchange the derivative with an expectation?
12869
Solving SDE: $dX(t) = udt + \sigma X(t)dB(t)$
139593
$(S_0+\ldots + S_n)_{n\geq 0}$ not a Markov chain
90666
Finding an example of a discrete-time strict local martingale.
99165
How to prove that for Brownian motion in $(a, b)$ $\mathbb{E}^x[\min(H_a, H_b)] = (x-a)(b-x)$?
146005
pdf of a member of a sequence of dependent random variables
43536
Proof that a standard Brownian motion visits zero infinitely often at the beginning
134504
What is $\mathbb{E}[W(s)\mathrm{e}^{W(S)}]$ where W(S) is a standard Brownian Motion?