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Backwards submartingale is a supermartingale?

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#stochastic-processes #conditional-expectation #expected-value #martingales
231
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Itô-Tanaka formula for a cadlag semimartingale (with a jump process)

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #poisson-process
223
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Girsanov theorem to show that a process is a solution of a certain SDE using measures on $C[0,1]$

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#probability-theory #measure-theory #stochastic-processes #stochastic-calculus
43
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What is the relation between the generating function and the extinction probability?

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#stochastic-processes #generating-functions
43
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Resnick Exercise 6.12 - Standard Brownian Motion

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#stochastic-processes #brownian-motion
70
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Resnick Exercise 6.21 - Find expectation and variance of Brownian Motion

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#probability-theory #stochastic-processes #brownian-motion
61
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Covariance of two increasing stochastic processes

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#real-analysis #probability-theory #stochastic-processes #stochastic-calculus
118
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Random walk with either stepping up or returning to zero, and returning time

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#stochastic-processes #markov-chains #random-walk
176
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Computing expectation of random variable with respect to filtration

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#stochastic-processes #conditional-expectation #filtrations
113
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Version of the local central limit theorem for a simple random walk on $\mathbb{Z}^D$

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#probability-theory #stochastic-processes #markov-chains #markov-process #central-limit-theorem
56
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What are the benefits of working in the frequency domain instead of time domain?

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#stochastic-processes #time-series
150
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Conditional Distribution of Brownian Motion

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#probability-theory #stochastic-processes
1k
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Max and min of stopping times

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#probability-theory #stochastic-processes #stopping-times
31
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Rewrite this onto stochastic equation form?

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#stochastic-processes #stochastic-differential-equations #hamilton-jacobi-equation
77
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The time convergence of stochastic integral and Doob's convergence.

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#probability-theory #probability-distributions #stochastic-processes #martingales #weak-convergence

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