List questions from stochastic-processes

Published on 16 Apr 2026 - 0:35

745

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Understand why an event is not in the tail $\sigma$algebra

Published on 17 Apr 2026 - 14:59

115

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Martingale and quadratic covariance

Published on 16 Apr 2026 - 3:06

87

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Check on Brownian motion exercise

Published on 12 Apr 2026 - 20:17

54

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Show that $\left(\phi\left(X_{t}\right)\right)_{t \geq 0}$ is a martingale

Published on 26 Mar 2026 - 4:34

72

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Find expected value of function of a random variable

Published on 10 Apr 2026 - 21:44

688

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Using Ito Calculus to find $\mathbb{E}[U_t]$ if $U_t= \cos(\sigma W_t)$ where $W_t$ is Brownian Motion

Published on 15 Apr 2026 - 10:34

46

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Computing transition probability of squared random variable in a stochastic process

Published on 12 Apr 2026 - 18:03

50

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Boundary value problem - linear birth death process

Published on 25 Mar 2026 - 7:38

133

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Distribution of $W_s-W_t$, $s<t$ for a Brownian motion

Published on 13 Apr 2026 - 15:37

287

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Prove by induction the formula for n-step transition matrix

Published on 09 Apr 2026 - 15:22

109

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Calculate $\int_{-\infty}^{\infty} \cos(a t) e^{-\frac{t^2}{2}}dt$ using $E[U_t]$ where $U_t = cos(\sigma W_t)$ where $W_t$ is Brownian Motion

Published on 16 Apr 2026 - 5:38

399

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Deriving the distribution of residual time in a Poisson process.

Published on 29 Apr 2026 - 19:26

357

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Linear rates Birth/Death Process with immigration

Published on 25 Mar 2026 - 3:00

65

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Brownian Motion $E[B_t \cdot B_s \cdot B_v]$ with $0 < t < s <v$

Published on 15 Apr 2026 - 17:10

List Question

Prove that $\Bigl\{\frac{S_n}{n},n\geq 1 \Bigr\}$ is a Markov chain

Understand why an event is not in the tail $\sigma$algebra

Martingale and quadratic covariance

Check on Brownian motion exercise

Show that $\left(\phi\left(X_{t}\right)\right)_{t \geq 0}$ is a martingale

Find expected value of function of a random variable

Using Ito Calculus to find $\mathbb{E}[U_t]$ if $U_t= \cos(\sigma W_t)$ where $W_t$ is Brownian Motion

Computing transition probability of squared random variable in a stochastic process

Boundary value problem - linear birth death process

Distribution of $W_s-W_t$, $s<t$ for a Brownian motion

Prove by induction the formula for n-step transition matrix

Calculate $\int_{-\infty}^{\infty} \cos(a t) e^{-\frac{t^2}{2}}dt$ using $E[U_t]$ where $U_t = cos(\sigma W_t)$ where $W_t$ is Brownian Motion

Deriving the distribution of residual time in a Poisson process.

Linear rates Birth/Death Process with immigration

Brownian Motion $E[B_t \cdot B_s \cdot B_v]$ with $0 < t < s <v$

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