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Process of sum of flip coin is not uniformly integrable?

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis
43
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How can I show that $E[\sup_{0 \le t \le T} N_t^2]<\infty$ for all $T>0$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
155
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stochastically independence

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#random-variables #stochastic-calculus #stochastic-analysis
481
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Martingality of a Doleans-Dade exponential local martingale.

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#probability-theory #stochastic-calculus #martingales #stochastic-analysis #local-martingales
126
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Expectation of the product of Brownian processes (higher powers)

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#stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-analysis #expected-value
412
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Expected value of general diffusion

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#probability #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
540
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Quadratic Variation and Brownian Motion

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-analysis
78
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Upperbound on expectation of supremum

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#probability #stochastic-processes #stochastic-analysis
49
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Given a Markov process, are we able to construct another Markov process with the same transition semigroup but different inital law?

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#probability-theory #measure-theory #markov-process #stochastic-analysis #semigroup-of-operators
1.4k
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Continuous mapping theorem, multivariate case, joint distribution.

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#probability-theory #convergence-divergence #stochastic-analysis
167
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Decomposition of a cadlag and of local bounded variation function $Z:\mathbb{R}_+\rightarrow\mathbb{R}$

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#real-analysis #stochastic-processes #stochastic-calculus #stochastic-analysis
92
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integration by parts formula

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#stochastic-processes #stochastic-calculus #martingales #stochastic-analysis
49
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Uniqueness of a solution for SDE

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#stochastic-processes #stochastic-calculus #stochastic-analysis
133
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Ansatz for Merton's Problem

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#stochastic-analysis #learning
142
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Quadratic Variation of Brownian Motions

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#stochastic-processes #stochastic-calculus #stochastic-analysis

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