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Is there an example that shows that the optional stopping theorem fails for finite (unbounded) stopping times?

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#stochastic-processes #brownian-motion #martingales #stochastic-analysis #stopping-times
217
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Transition matrix in left-right hidden semi-Markov model

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#probability-distributions #stochastic-processes #markov-chains #machine-learning #bayesian-network
975
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random walk with sticky barriers

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#probability #probability-theory #stochastic-processes #markov-chains #markov-process
200
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Inferring transition rates from continuous markov chain question

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#stochastic-processes #markov-chains #markov-process
110
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Eigenvalue markov chain

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#real-analysis #probability #analysis #probability-theory #stochastic-processes
445
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Simple Random Walk probability of first visit

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#stochastic-processes #random-walk
223
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How to prove that a jump diffusion has infinite total variation?

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#stochastic-processes
218
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Why does this hold for the mean hitting time?

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#probability #sequences-and-series #stochastic-processes #markov-chains #expectation
174
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Is there a conditional random variable?

Published on
#stochastic-processes
103
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A discrete time Markov chain with such a transient state that $\mathbb P(T_i<\infty \ | \ X_0=i) \neq 0$

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#probability-theory #stochastic-processes #markov-chains
141
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Second (centered) moment for martingales

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#stochastic-processes #stochastic-calculus #martingales
82
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On the confinement to $[0;1]$ of the solution of $dX_{t}=(1-X_{t})X_{t}dB_{t}$

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#probability-theory #stochastic-processes #stochastic-differential-equations
734
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Strong solution of stochastic differential equation

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
245
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Write the Hamilton Jacobi Bellman equation

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#probability #probability-theory #stochastic-processes #stochastic-integrals #stochastic-analysis
185
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Fractional Brownian motion---construction via Hilbert space?

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#probability-theory #reference-request #stochastic-processes #hilbert-spaces

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