List questions from stochastic-processes

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Examples of when filtrations matter for martingales

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How understand the definition of $\textbf{absorbed off}$(Markov chain)

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Show that $\mathbb P ' \approx \mathbb P$ exists with bounded density so that $Y^{1},...,Y^{n}\in L^{1}(\mathbb P^{'})$

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Stochastic process starting from a Langevin dynamics

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Finding an SDE satisfied by the stochastic process $X_t=\int_{0}^{t}f(u,t)dW_{u}$

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Expectation of vector-matrix-vector product

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How to use from Bayes' Conditional Expectation to show $E_{P}[\frac{dP}{dQ}\vert \mathcal{G}]>0$ $Q-$a.s.

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Wiener $W^n, n=1,2$ process in SDE form

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Wiener $W^n, n = 1,2$ process in Integral form

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Conditioned Galton Watson Process

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Finite dimensional distributions of a Markov process

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Expectation of Brownian motion $W^k, k = 2,4$

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Question from Exercise $1.8$ in Karatzas and Shreve. Representation of a filtration.

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Why $\mathbb P(\forall s\in [a,b], B_s\neq 0\mid B_a=x)=\mathbb P(\forall s\in [0,b-a], B_s\neq -x\mid B_0=0)$?

Published on 17 Apr 2026 - 5:00

List Question

Computing the conditional expectation $E[X_{n+1}\mid \mathcal{F}_n]$.

Examples of when filtrations matter for martingales

How understand the definition of $\textbf{absorbed off}$(Markov chain)

Show that $\mathbb P ' \approx \mathbb P$ exists with bounded density so that $Y^{1},...,Y^{n}\in L^{1}(\mathbb P^{'})$

Stochastic process starting from a Langevin dynamics

Finding an SDE satisfied by the stochastic process $X_t=\int_{0}^{t}f(u,t)dW_{u}$

Expectation of vector-matrix-vector product

How to use from Bayes' Conditional Expectation to show $E_{P}[\frac{dP}{dQ}\vert \mathcal{G}]>0$ $Q-$a.s.

Wiener $W^n, n=1,2$ process in SDE form

Wiener $W^n, n = 1,2$ process in Integral form

Conditioned Galton Watson Process

Finite dimensional distributions of a Markov process

Expectation of Brownian motion $W^k, k = 2,4$

Question from Exercise $1.8$ in Karatzas and Shreve. Representation of a filtration.

Why $\mathbb P(\forall s\in [a,b], B_s\neq 0\mid B_a=x)=\mathbb P(\forall s\in [0,b-a], B_s\neq -x\mid B_0=0)$?

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