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Expected response time of Continuous time Markov chain

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Understanding the Markov property of Brownian motion

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299
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Why is $f(X_t)-\int_0^t Af(X_s) \, ds$ a martingale for a Markov process $(X_t)_{t \geq 0}$?

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#probability-theory #stochastic-processes #martingales #markov-process
161
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Confused about definition of absorption probability

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#probability #markov-process
314
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Transition density of an AR(1) process?

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#probability #probability-distributions #stochastic-processes #markov-chains #markov-process
637
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Markov and strong Markov properties

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#stochastic-processes #markov-process #stopping-times
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Joint distribution of Brownian motion and its running maximum

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162
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Stochastic variables independent given Tau

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416
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How is the Laplace transform of the density of a specific point process computed?

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#stochastic-processes #markov-process #point-processes
2.1k
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Show that Brownian motion on the unit circle is exponentially ergodic and has the uniform measure as its invariant distribution.

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#probability #stochastic-processes #brownian-motion #markov-process #ergodic-theory
35
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Process Transition Algorithm

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#algorithms #stochastic-processes #dynamical-systems #markov-process #bayes-theorem
98
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Markov processes: Hitting times for a point form an i.i.d. sequence

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#probability-theory #markov-chains #markov-process #stochastic-differential-equations
139
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A Characterization of the Strong Markov Property

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1.5k
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Irreducible Markov chain and invariant measure

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686
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Explicit transition matrix

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