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Why are there different definitions of admissibility in the literature, and why do we need admissibility?

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#probability-theory #stochastic-processes #martingales #finance #stochastic-analysis
51
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Minimal set of condition for the Feynmann-Kac formula to hold

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#partial-differential-equations #reference-request #stochastic-calculus #stochastic-analysis #stochastic-differential-equations
170
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For which $d$ holds $\lim_{t\to \infty} |W_t|=\infty$?

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#stochastic-processes #brownian-motion #stochastic-analysis
87
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What makes Itô processes special?

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#probability-theory #stochastic-processes #math-history #stochastic-analysis
209
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Why is the stochastic integral only defined for predictable integrands?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
55
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Let $Y_t=t\sin W_t$ where $W_t$ - Wiener process. Calculate $\left< Y \right>_t$.

Published on
#brownian-motion #martingales #stochastic-integrals #stochastic-analysis
30
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Techniques on how to stochastic optimize.

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#optimization #stochastic-processes #convex-analysis #convex-optimization #stochastic-analysis
32
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Optimal Stopping Problem as an $L^p$ function?

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#probability-theory #reference-request #stochastic-processes #stochastic-analysis
142
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Weak convergence of Hilbert-space valued stochastic process

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#functional-analysis #probability-theory #stochastic-processes #stochastic-analysis #probability-limit-theorems
36
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Limit of sequence of continuous time martingales is a martingale

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#probability-theory #stochastic-processes #conditional-expectation #stochastic-analysis
17
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Proove that if a machine is changed when it reaches t=S or when it reaches its end of life with distribution F then te rate is:

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#stochastic-processes #stochastic-analysis
41
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Regularity of the initial condition for a stochastic differential equation

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#stochastic-calculus #stochastic-analysis #stochastic-differential-equations
139
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Estimate the norm of the (stochastic) heat equation with time-dependent diffusion coefficient

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#partial-differential-equations #stochastic-analysis #heat-equation #stochastic-differential-equations #stochastic-pde
33
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Martingale defined by an integral

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#probability-theory #stochastic-calculus #martingales #stochastic-analysis
19
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Characterization of compensated Poisson processes

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#stochastic-processes #stochastic-calculus #stochastic-analysis #poisson-process

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