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Second moment of Continuous Time Markov Chain hitting time

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#stochastic-processes #markov-chains #laplace-transform #stopping-times
48
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$\mathbb E[(X_s-K)^+]\geq\mathbb E[(X_t-K)^+]$ for a martingale with $t<s$

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#probability-theory #stochastic-processes #martingales #expected-value
46
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How to compute $E[1/x]$, where the process is described by $dx = ax\,dt + b\,dw$?

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#stochastic-processes #stochastic-integrals #expected-value
362
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"strong stationary process" equivalent to a process with "indentically distributed" random variables?

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#stochastic-processes
171
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Are nonnegative Lévy processes almost always nondecreasing?

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#stochastic-processes #levy-processes
42
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Simple Exploitation of Markov Property for Brownian Motion

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#stochastic-processes #brownian-motion #conditional-expectation #markov-process #independence
229
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What is the true definition of a Lévy process?

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#stochastic-processes #levy-processes
55
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Whether the integrated Brownian motion a Gaussian process?

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#stochastic-processes
263
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Verify Markov property

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#probability #stochastic-processes #conditional-expectation #conditional-probability #markov-process
56
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Relation between Continuous Time Markov Chain $X_t$ and $X_{\sqrt{t}}$

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#stochastic-processes #markov-chains #markov-process
105
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Why is this matrix invertible?

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#linear-algebra #stochastic-processes
31
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$\mathbb E x_t$ and $Cov(x_t,x_s)$ for $(x_t=\cos(\lambda t+ \phi)|t \in \mathbb Z)$, $\lambda \sim U([-\pi,\pi])$

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#measure-theory #stochastic-processes
55
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Equivalent in fair price

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#probability #measure-theory #stochastic-processes #random-variables #stopping-times
48
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Weak convergence of Markov chains with random lifetime

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#probability-theory #stochastic-processes
187
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Is a transformed mixing process is still mixing?

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#probability #measure-theory #probability-distributions #stochastic-processes #mixing

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