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Urn Problem - Martingales

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#probability #probability-theory #stochastic-processes #martingales
21
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prove that a process is an MA(q)

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#statistics #stochastic-processes #time-series
75
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Black&Scholes Market pricing

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#stochastic-processes #finance #economics
47
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Self-similar process supremum probability bound

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#probability-theory #stochastic-processes
413
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Continuous markov chains, forward and backward equations naming.

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#stochastic-processes #terminology #markov-chains
462
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Probability of $B_t < 0$ if $B$ is Brownian Motion

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#stochastic-processes #brownian-motion
204
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Is there a explicit formula for Levy's area in terms of signature for higher dimension?

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#linear-algebra #stochastic-processes #soft-question #stochastic-differential-equations #rough-path-theory
870
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Mean time to absorption

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#stochastic-processes #markov-chains
43
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Markov chain $Y_n:=X_{2n}$ transition probability

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#stochastic-processes #markov-chains #markov-process
78
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$E[(\int_{0}^{\infty}f(t)dW_t)^2]$ for $f(t)=(W_2-W_1)1_{[2,3)}(t)+(W_3-W_1)1_{[3,5)}(t)$

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#stochastic-processes #stochastic-calculus #brownian-motion
35
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Stochastic processes and infection propagation

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#probability #stochastic-processes #markov-chains
26
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Derivation of the expectation of an exponential

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#stochastic-processes #stochastic-calculus #exponential-distribution
138
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Brownian motion expected value of $W(1)$.

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#stochastic-processes #brownian-motion #expected-value
329
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Ito's formula for square of a norm

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#stochastic-processes #stochastic-integrals
67
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Central Limit Theorem and Law of Large Numbers for stable linear stochastic systems

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#stochastic-processes #markov-chains #markov-process #central-limit-theorem #law-of-large-numbers

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