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Simple process in Itô calculus

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#probability-theory #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
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What does non-degeneracy of of the diffusion coefficient in the context of a SDE mean?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
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Conditional Expectation with Respect to an Initial Condition

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#probability-theory #stochastic-processes #stochastic-calculus
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Are we allowed to modify the order of the states within a Markov chain?

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#stochastic-processes #markov-chains
109
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Proving a that the arrival times of a Poisson process is uniformly distributed

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#stochastic-processes #conditional-probability #poisson-process
33
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Can a stochastic process be neither adapted to filtration nor previsible?

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#probability #measure-theory #stochastic-processes #filtrations
98
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Cramér-Lundberg model for on-demand insurance

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#probability #stochastic-processes #markov-chains #simulation #risk-assessment
42
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Are Ito integrals equivalence classes or conrete random variables?

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#stochastic-processes #lp-spaces #stochastic-calculus #brownian-motion
275
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Determinant of transition matrix problem.

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#stochastic-processes #markov-chains
47
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Subscript on Filtration of a Probability Space

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#stochastic-processes #filtrations
48
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How does the solution $U∗z(t)$ work for renewal equation?

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#stochastic-processes #convolution #poisson-process
49
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a question about strong law for renewal process

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#probability-theory #stochastic-processes
266
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(Proof) If $M$, $N$ are two orthogonal local martingales, and $S$, $T$ stopping times, then the stopped local martingales $M^S$, $N^T$ are orthogonal.

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#stochastic-processes #stochastic-calculus #finance #stochastic-integrals #stochastic-analysis
301
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Computing infinitesimal generator for a jump process with continuous component

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#stochastic-processes #stochastic-calculus #stochastic-analysis
266
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Solving system of stochastic DE

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-differential-equations

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