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Show that a process is a local martingale

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#probability-theory #stochastic-processes #stochastic-calculus #martingales #local-martingales
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The Expectation of the Product of two Stochastic Integrals

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#stochastic-processes #stochastic-calculus #martingales
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Kolmogorov's backward equation

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#stochastic-processes
76
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Finding a limit of a matrix raised to the $n$-th power

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#real-analysis #matrices #stochastic-processes
285
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Brownian motion question for $\mathbb{E}\left[W_s W_t^2 \right]$ and $\mathbb{E}\left[W_s^2 W_t^2 \right]$

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#stochastic-processes #brownian-motion #expected-value
143
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Is working modulo null sets really insufficient for studying stochastic processes?

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#probability-theory #measure-theory #stochastic-processes
120
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M/M/1 Queuing Process

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#stochastic-processes #queueing-theory
35
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Predicting a non-causal stationary autoregressive process

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#stochastic-processes #time-series #projection
98
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Distribution of Galton Watson process with exponential offspring

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#probability-distributions #stochastic-processes
661
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Covariance of increments of fractional Gaussian noise

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#probability #probability-theory #stochastic-processes #stochastic-calculus
241
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Conditional Expectation of Stochastic Integral w.r.t a Martingale given path of the Martingale

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#stochastic-processes #stochastic-calculus #stochastic-integrals
1.5k
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Fair gambler's ruin problem intuition

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#probability #stochastic-processes #intuition
406
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Probability of the waiting time M/G/1 and G/M/1 queue

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#stochastic-processes #laplace-transform #queueing-theory
157
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Strong markov property of a transformation of the Brownian motion

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#probability #stochastic-processes #brownian-motion #markov-process
225
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Autocorrelation and lags definition

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#statistics #stochastic-processes #terminology #definition #correlation

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