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Reference request: Langevin Dynamics

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#probability-theory #reference-request #stochastic-processes #markov-process #optimal-transport
348
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(Transient) Birth and Death Process

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#stochastic-processes #markov-chains
301
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Show ergodicity of $2x\operatorname{mod}1$

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#probability-theory #measure-theory #stochastic-processes #ergodic-theory #stationary-processes
167
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Bounding the expectation of random variables' product.

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#probability-theory #stochastic-processes #asymptotics #mixing
86
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Stochastic Integrals: Approximating $f(t,\omega)$ by $ke^{-kt} \int_0^t e^{ks} f(s,\omega)ds$

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#real-analysis #analysis #stochastic-processes #stochastic-calculus #stochastic-differential-equations
28
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shift a lognormal process lower by keeping the same variance

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#probability #stochastic-processes #stochastic-calculus
125
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How $h(z)=\color{blue}{\alpha} \sum_{y} p_{z y} h(y)$ follows from Markov property?

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#stochastic-processes #markov-chains #stopping-times
365
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Questions concerning proof of the Riesz decomposition of a supermartingale: Sequence of conditional expectations of a supermartingale is monotone

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#probability-theory #stochastic-processes #martingales
109
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Using the Limit Theorem on a Stochastic Matrix

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#limits #stochastic-processes #markov-chains #stochastic-matrices
118
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Hitting time of a discrete time supermartingale

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#probability #stochastic-processes #expected-value #martingales
95
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Closed form solution for stochastic partial differential equations

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#partial-differential-equations #stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis
1.4k
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Using Itos Lemma To Derive an Ito Stochastic Differential Equation

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #stochastic-differential-equations
280
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The Expectation Value of an Ito Stochastic Equation

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#stochastic-processes #stochastic-analysis
139
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Limiting distribution of a first passage time.

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#analysis #probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis
162
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What do you lose without kolmogorov extension theorem?

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#probability-theory #measure-theory #stochastic-processes

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