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How to use Itô's formula to write stochastic processes as integrals?

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#stochastic-processes #finance #stochastic-integrals
74
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Rolling a die until the sequence $65656$ shows up

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#probability #stochastic-processes #markov-chains #markov-process
138
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Martingale with respect to a sequence of real numbers.

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#probability-theory #stochastic-processes #martingales
1.3k
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When is an SDE a martingale?

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#stochastic-processes #martingales #stochastic-differential-equations
794
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Davydov's inequality and strongly mixing sequence.

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#probability-theory #stochastic-processes #mixing
59
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Expected number of widgets(Markov chain)

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#probability #stochastic-processes #markov-chains
252
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Absolute Value of 2D Random Walk as Markov Chain

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#stochastic-processes #markov-chains #random-walk
26
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Simplifying an Infinite Series (Limiting Distribution)

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#sequences-and-series #stochastic-processes
34
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What is wrong, or what is missing from the following statement?

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#stochastic-processes #stochastic-calculus #brownian-motion #independence #wiener-measure
680
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Expected value of a random variable at a stopping time.

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#stochastic-processes #martingales #stopping-times
91
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How to use the markovian property and use the uniqueness of SDEs

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#probability #probability-theory #stochastic-processes #stochastic-calculus
60
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Construct a random walk on $\mathbb{R}$

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#probability #statistics #stochastic-processes #random-walk
67
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Interesting task on Poisson process

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#probability-theory #stochastic-processes
393
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Oscillating Random Walk

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#stochastic-processes #random-walk
277
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Which states are recurrent and which states are transient?

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#stochastic-processes #markov-chains

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