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Is it $E[\mathbf{1}_{\{\tau\leq T\}}]\leq E[\mathbf{1}_{\{\tau\leq T+1\}}]$?

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#probability-theory #stochastic-processes #solution-verification
133
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Unique strong solution of $X_t=t+\int_0^tX_sdW_s$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
345
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Bessel processes and Brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion
58
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Non linear SDE population Dynamics

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#stochastic-processes #stochastic-differential-equations
482
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Proving a formula for the stationary distribution of a finite irreducible Markov chain

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#linear-algebra #stochastic-processes #markov-chains #self-learning
68
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Summarize coefficients of $dX=f(X)dt+g_1(X)dW_1+g_2(X)dW_2$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
32
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Relationship between moments

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#stochastic-processes
87
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Reference request: SLLN for correlated/exchangeable random variables

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#probability-theory #reference-request #stochastic-processes
106
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Stochastic order

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#stochastic-processes
174
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Why does tSNE includes "Stochastic" on its name?

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#probability-theory #stochastic-processes #algorithmic-randomness
68
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Does conditional stationarity of $X_t$ imply that $\lim_{j\to \infty} \mathbb{E}_t[X_{t+j}]$ exists?

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#limits #probability-theory #stochastic-processes #stationary-processes
71
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Can anyone help me troubleshoot a bellman equation’s value function?

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#probability #optimization #stochastic-processes #recursion #stochastic-analysis
189
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Property of a transient Markov chain

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#probability-theory #stochastic-processes #markov-chains
95
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What is the autocorrelation function of a stochastic process evaluated at $t=0$?

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#stochastic-processes #stochastic-calculus
198
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Geometric Brownian motion: Correlation in the increments when looking at the average value over some period?

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#stochastic-processes #brownian-motion #correlation #time-series

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