Tagged Questions

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Determining a square integrable martingale

I'm preparing for an exam in my course Martingales & Stochastic Integrals. Currently I'm having a look at some old exams, and there's a question on one of them that I'm not able to figure out. The ...
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Exercises for “Limit Theorems for stochastic processes”

I am reading the book of Jacod and Shiryaev: Limit Theorems for Stochastic Processes. But there are no exercises in this book. Does anyone know a good source with exercises?
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Exercises on stochastic calculus

Where I can find exercises on stochastic calculus (stochastic integration, SDE)? I'm mostly interested in medium difficulty exercises, preferably not proof-oriented, ideally with solutions. I've ...