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Deriving Fokker-Planck equation for a microswimmer

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#stochastic-processes #stochastic-calculus #random-walk
267
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Question about a proof on the canonical process of Brownian motion.

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#analysis #probability-theory #stochastic-processes #stochastic-calculus #brownian-motion
214
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Validity of Ito's formula for "piecewise-defined" Ito processes

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#probability-theory #stochastic-processes #stochastic-calculus
39
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What are the problems with the conditional expectation of $\mathbb{E}(X|H)$ when $\mathbb{P}(H)=0$?

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#stochastic-processes #stochastic-calculus #conditional-expectation
110
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Intermediary result for Novikov sufficient condition

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#probability #stochastic-calculus
201
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stopping time and stochastic integral

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#stochastic-calculus #stopping-times
1.6k
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The conditional expectation of an almost surely positive random variable

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#probability #probability-theory #stochastic-calculus #conditional-expectation
355
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Elliptical distribution - properties

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#probability-distributions #stochastic-calculus
100
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Using Markov property on brownian motion

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#stochastic-calculus #stochastic-analysis
102
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Heuristics on subordinated Brownian motions and time-changed Levy processes

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#stochastic-calculus #stochastic-integrals #stochastic-analysis #levy-processes
75
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Determining strictly stationarity of a nonlinear stochastic differential equation

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#stochastic-processes #markov-chains #stochastic-calculus #markov-process #stochastic-integrals
176
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Density function implied by a stochastic differential equation

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#probability-theory #probability-distributions #stochastic-processes #stochastic-calculus #stochastic-analysis
114
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Using Itô's formula on product, problems with covariation process, Karatzas & Shreve, Proposition 3.5.4.

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#proof-verification #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
32
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Terminology and work on limited lifetime Ito processes

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#probability #reference-request #stochastic-processes #stochastic-calculus #stochastic-integrals
348
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Notation of probability kernel

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#probability-theory #stochastic-processes #stochastic-calculus #markov-process

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