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Interpreting stationary distribution $P_{\infty}(X,V)$ of a random process

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#real-analysis #probability #stochastic-processes #stochastic-calculus
118
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Probability being in the same state

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#stochastic-processes #markov-chains
109
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Random variables coincide

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#real-analysis #probability #probability-theory #measure-theory #stochastic-processes
59
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Reference request for a lemma on the expected value of Hermitian polynomials of Gaussian random variables.

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#probability #functional-analysis #probability-theory #stochastic-processes #stochastic-calculus
141
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Why does there exists a random variable $x^n(t,\omega')$ such that $x_{k_r}^n$ converges to it

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#real-analysis #probability-theory #measure-theory #stochastic-processes #stochastic-calculus
231
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Compute the covariance of $W_t$ and $B_t=\int_0^t\mathrm{sgn}(W)dW$, for a Brownian motion $W$

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion
355
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Why has $\sup_{s \in (0,t)} B_s$ the same distribution as $\sup_{s \in (0,t)} B_s-B_t$ for a Brownian motion $(B_t)_{t \geq 0}$?

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#probability-theory #probability-distributions #stochastic-processes #brownian-motion
53
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What is the name of the operation where a sequence of RV's form the parameters for the subsequent one?

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#probability #stochastic-processes #markov-process
208
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Markov property vs. transition function

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#probability-theory #stochastic-processes
291
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Variance of the integral of a stochastic process multiplied by a weighting function

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#integration #stochastic-processes #expectation
1.6k
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Markov Chain never reaches a state

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#stochastic-processes #markov-chains
675
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Discontinuous Brownian Motion

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#stochastic-processes #brownian-motion #measurable-functions
246
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Cross Variation of stochatic integrals

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#stochastic-processes #martingales #stochastic-integrals #stochastic-analysis #quadratic-variation
68
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Find probability function of random walk, stochastic processes

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#stochastic-processes #markov-chains #random-walk
91
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Random walk with probability $p \neq 1$ of stepping at each $\Delta t$

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#probability #stochastic-processes #random-walk

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