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Preservation of the Markov property

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#stochastic-processes #markov-process
95
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independence of 1-dimensional brownian motions proof (Oksendal SDE Exercise 2.11)

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#stochastic-processes #brownian-motion
206
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Finding the PDE for a birth and death process

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#probability #stochastic-processes #birth-death-process
112
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Determine the steady state distribution

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#stochastic-processes #queueing-theory
426
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expectation of stopped local time

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#probability #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
210
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Question on process in Girsanov theorem

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#stochastic-processes #brownian-motion
245
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What is the Radon-Nikodym density $dP^∗ /d P$ of the unique $P^ ∗ ∼ P$ such that the discounted price $S^*_t := S_t /B_t$ is a $P^∗$-martingale

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#stochastic-processes #stochastic-calculus #martingales #radon-nikodym
705
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Density of minimum of Drifted BM Computation.

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#stochastic-processes #brownian-motion #stochastic-integrals
1.5k
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Recurrence relation in the total progeny of a branching process

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#statistics #stochastic-processes
80
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Expectation and variance of 4th generation

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#probability #stochastic-processes #generating-functions
56
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Formulating an algorithm for generating the smallest $k$ among $n$ i.i.d. uniform variables

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#probability #probability-theory #stochastic-processes #algorithms #order-statistics
13
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The necessary conditions for KL expansion of stochastic processes/random fields

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#functional-analysis #stochastic-processes #operator-theory
194
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Showing $\boldsymbol{Q}$ is stochastic given a transition matrix on $k$ states

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#matrices #statistics #stochastic-processes #markov-chains
209
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Expected number of toss to get a single Head followed by k Consecutive Tails

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#probability #probability-distributions #stochastic-processes
76
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Entrance times of a continuous stochastic process

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#probability #stochastic-processes #stopping-times

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