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Transition matrix for a two state Markov Chain

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#stochastic-processes
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Proof that $Y_{t}dX_{t}=dY_{t} \Rightarrow d[Y,Y]_{t}=Y^{2}d[X,X]_{t}$ for continuous semimartingale X?

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#probability-theory #stochastic-processes #stochastic-calculus
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Markov Chain, Irreducible, Stationary distribution

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#stochastic-processes #markov-chains
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Understanding the proof of Snell Envelope Optimal Stopping Time

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#stochastic-processes #self-learning #stopping-times
26
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$\mathbb E[X(t)]=0$, $\mathbb E[(X(t))^2]=t$. Does there exist a $\mathcal F_s$ measurable random variable $Y$ such that $\mathbb E[(X(t)-Y)^2]<t-s$

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#measure-theory #stochastic-processes
25
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How to find the Cumulative Distributive Function of a element in a Stochastic Process?

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#probability #stochastic-processes
111
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Filtering Sum of Brownian Motions

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#stochastic-processes #stochastic-calculus #brownian-motion
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Stochastic integration by parts

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-integrals
535
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Showing log(Wt) is a martingale using Ito's Formula

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#stochastic-processes #brownian-motion #martingales
47
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Is there an alternative approach to using Itô's lemma for computing this stochastic differential?

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion
675
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Change of variables in stochastic PDE

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#stochastic-processes #change-of-variable #stochastic-pde
833
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Multiplication of normal distributed variables with orthonormal matrix

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#probability #probability-theory #statistics #stochastic-processes
95
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Measurability of Last Exit Time of a Discrete Time Stochastic Process

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#probability-theory #stochastic-processes #stopping-times
371
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Equilibrium vector in Markov chain

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#stochastic-processes
56
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Versions and indistinguishability, when to distinguish?

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#probability-theory #stochastic-processes

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