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Prove the infinum of supermartingales is still a supermartingale

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#probability #probability-theory #stochastic-processes #martingales
269
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Why the stochastic integral is a $L^2$ convergence ? Pointwise convergence doesn't work?

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#probability #stochastic-processes #stochastic-integrals
87
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Counting process with independent, stationary increments is Poisson

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#stochastic-processes #poisson-process
49
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Two Definitions for $E(X)$

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#stochastic-processes #stochastic-calculus #stochastic-integrals
156
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Stochastic integrals and stopping times

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#probability-theory #stochastic-processes #stochastic-integrals
110
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Itô integral and stock prices in discrete time.

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#probability #probability-theory #stochastic-processes #stochastic-integrals
233
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Can we re-write the natural filtration of a Brownian Motion?

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#measure-theory #stochastic-processes #random-variables #brownian-motion
561
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Distribution of inter-arrival time of non-homogenous Poisson Process

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#probability-theory #stochastic-processes #martingales #poisson-distribution #poisson-process
756
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Exact (!) relation between Martingale Problem, SDEs and Markov processes

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#stochastic-processes #markov-process #stochastic-differential-equations
1.6k
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Distribution of $\max_{t \in [0,1]} |W_t|$ for Brownian motion

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#probability-distributions #stochastic-processes #stochastic-calculus #brownian-motion #supremum-and-infimum
222
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A 'Kinda' Normal Distribution Over the Unit Interval? (the ladybug won't die)

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#probability #statistics #stochastic-processes #maximum-likelihood
80
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A process converging to a certain distribution

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#probability #probability-distributions #stochastic-processes #markov-process #gamma-distribution
397
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Reference of the ergodic theorem in continuous time

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#measure-theory #reference-request #stochastic-processes #dynamical-systems #ergodic-theory
295
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Convergence of ergodic averages

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#probability-theory #stochastic-processes #dynamical-systems #markov-chains #ergodic-theory
41
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$Ε[Χ]$ calculations with different distribution variables

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#stochastic-processes #means

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