List questions from stochastic-processes

Published on 25 Mar 2026 - 23:36

121

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Ornstein-Uhlenbeck process - maximum likelihood estimation

Published on 26 Mar 2026 - 4:49

66

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Is $\frac{1}{1+A}$ uniformly bounded process when $A$ is an increasing process with $A_0 = 0$?

Published on 28 Mar 2026 - 20:59

195

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Is $\mathcal G_t = \sigma(\int_{0}^{s} W_s \,du:s\leq t)$ a right-continuous filtration?

Published on 28 Mar 2026 - 8:36

130

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Probability Mass Function of the Time of First Return to $0$

Published on 31 Mar 2026 - 11:25

150

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Asymptotics of the optimal stopping time of a paying die game

Published on 25 Mar 2026 - 16:03

1.4k

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Poisson process, expected value

Published on 20 Jul 2019 - 2:44

54

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Show that the compound Poisson process is continuous a.s. at a fixed time.

Published on 26 Mar 2026 - 12:52

239

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If we have a SDE $dX_t=b(X_t,t)dt+\sigma(X_t,t)dB_t$, why is $(dX_t)^2=\sigma^2(X_t)dt$?

Published on 25 Mar 2026 - 16:20

338

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Wide Sense Stationary for Random Process $A\cos(2\pi ft+\phi)$

Published on 25 Mar 2026 - 23:37

197

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Poisson process, every 13th customer

Published on 22 Jul 2019 - 3:16

91

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Probability density of process $Z_t = X_t + Y_t$, absolute Brownian motions

Published on 28 Mar 2026 - 8:36

250

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Independence - Increments of fractional Brownian motion

Published on 22 Jul 2019 - 14:00

59

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Limsup of time integral of an Ornstein-Uhlenbeck process

Published on 22 Jul 2019 - 19:23

38

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Poisson process, finding time t given $\lambda$ and $P$

Published on 02 Apr 2026 - 9:40

List Question

First exit time of Brownian motion

Ornstein-Uhlenbeck process - maximum likelihood estimation

Is $\frac{1}{1+A}$ uniformly bounded process when $A$ is an increasing process with $A_0 = 0$?

Is $\mathcal G_t = \sigma(\int_{0}^{s} W_s \,du:s\leq t)$ a right-continuous filtration?

Probability Mass Function of the Time of First Return to $0$

Asymptotics of the optimal stopping time of a paying die game

Poisson process, expected value

Show that the compound Poisson process is continuous a.s. at a fixed time.

If we have a SDE $dX_t=b(X_t,t)dt+\sigma(X_t,t)dB_t$, why is $(dX_t)^2=\sigma^2(X_t)dt$?

Wide Sense Stationary for Random Process $A\cos(2\pi ft+\phi)$

Poisson process, every 13th customer

Probability density of process $Z_t = X_t + Y_t$, absolute Brownian motions

Independence - Increments of fractional Brownian motion

Limsup of time integral of an Ornstein-Uhlenbeck process

Poisson process, finding time t given $\lambda$ and $P$

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