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Heston Model and antithetic variables

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#stochastic-processes #stochastic-calculus #stochastic-integrals
63
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Expected value and variance of a stochastic process with transformed random variables

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#stochastic-processes #expected-value #variance
97
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Bernoulli vs. binomial process

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#stochastic-processes #binomial-distribution
68
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Modulus 3-dim. Brownian motion convergence

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#stochastic-processes #brownian-motion
156
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Find the covariance of $x_{t} = x_{0}e^{-\alpha t} + \rho \int_{0}^{t} e^{-\alpha(t-s)}dW_{s}$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
16
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$\sup_{\alpha}E_P[X_{\alpha} (T)]=Kf(\alpha^*) ?$

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#probability-theory #stochastic-processes #stochastic-integrals #stochastic-analysis
96
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Hitting time Brownian motion

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#stochastic-processes #brownian-motion #martingales #stopping-times
84
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Sigma-algebra inclusion and mixing processes

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#probability-theory #stochastic-processes #self-learning #mixing
34
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Probability of two or more transitions is o($\Delta$ t).

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#probability-theory #stochastic-processes #markov-chains #markov-process
147
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Itô isometry for process that is not starting at 0?

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#probability-distributions #stochastic-processes #normal-distribution #stochastic-calculus #stochastic-integrals
27
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convergence of modulus BM under a subsequence

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#stochastic-processes #brownian-motion
199
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Limit of a stopping time

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#probability-theory #stochastic-processes #stopping-times
336
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Time of first $N(t)$ arrivals in a Poisson process

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#probability-theory #stochastic-processes #poisson-process
112
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Expectation of an integral depending on Brownian motion

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#probability #stochastic-processes #stochastic-calculus #brownian-motion
62
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Express Gaussian process similar to Ito diffusion form

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#linear-algebra #stochastic-processes #stochastic-calculus

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