Exercises in Stochastic Analysis

Abstract

This, somewhat unusual collection of problems in Measure-Theoretic Probability and Stochastic Analysis, should have been more appropriately called: ``The Problems I Like". For the material borrowed from the existing literature, full references and occasional historical remarks are provided. There are also original problems: Problem 3, Problem 22, Problem 25 (jointly worked out with Vlado Kesselj), Problem 27 (jointly worked out with Yacine Dolivet), Problem 39, Problem 49, Problem 50, Problem 51, Problem 56 Problem 58 (due to Alex Duriez), Problem 59, and Problem 65 are original. As this collection is work in progress, and any comments from the readers will be greatly appreciated.