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Proving the martingale property for a finite number of past times

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#stochastic-processes #martingales
55
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Characteristic function of the process W

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#stochastic-processes #self-learning
90
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Ito formula technique.

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#stochastic-processes #stochastic-calculus
302
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Sample space and $\sigma$-algebra for a stochastic process

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#probability-theory #stochastic-processes
180
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Estimation of autocovariance function for stationary times series

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#probability #stochastic-processes #random #covariance #time-series
247
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Uniform integrability for a specific martingale

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#probability-theory #convergence-divergence #stochastic-processes #martingales #uniform-integrability
301
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Recursive martingale

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#convergence-divergence #stochastic-processes #conditional-expectation #martingales
634
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What is the $\mathbb{P}(T_n<\infty)$ of a Markov chain on chess.

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#probability #probability-theory #stochastic-processes #markov-chains
143
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A question about the space of functions the Ito integral is defined on

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#functional-analysis #probability-theory #stochastic-processes #stochastic-calculus
28
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Measure functional and Random variables

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#probability-theory #measure-theory #stochastic-processes #stochastic-calculus
134
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How get the long-run proportion of times the vector is still $(1, 1,\dots, 1)$ which flips uniformly random?

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#probability #analysis #probability-theory #stochastic-processes
204
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books on Continuous-time markov chains

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#probability-theory #stochastic-processes #markov-chains #book-recommendation #markov-process
78
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Representation of probability measures.

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#real-analysis #measure-theory #stochastic-processes #brownian-motion
43
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Classic chain rule for Ito diffusion

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#probability #stochastic-processes #stochastic-calculus
479
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Transition Matrix (Markov Chain) - 2 Coin Flips

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#stochastic-processes #markov-chains #transition-matrix

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