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Definition of Stationary Increments

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#stochastic-processes #markov-chains #markov-process #poisson-process
70
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Convergence for stochastic processes

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#probability-theory #stochastic-processes
81
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Bounded expectation of a martingale process

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#probability #stochastic-processes #expectation #martingales #poisson-process
124
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Finding the distribution of $\int_0 ^T uW_u du$ for a Brownian motion

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#stochastic-processes #brownian-motion
67
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Period of a state and the number of sets

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#stochastic-processes #markov-chains #markov-process
254
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Variance of convolution between filter $A$ and Ornstein-Uhlenbeck process $x_t$

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#stochastic-processes #convolution
231
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The number of visits made by a Markov chain

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#stochastic-processes #markov-chains #markov-process
578
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When is the quadratic variation of a process continuously differentiable?

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#stochastic-processes #stochastic-calculus #martingales #stochastic-integrals #stochastic-analysis
74
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Use stochastic dynamic programming to find the optimal (in terms of expected total profit) investment strategy

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#optimization #stochastic-processes #self-learning #dynamic-programming
488
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Autocorrelation of OU process

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#stochastic-processes #correlation
60
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How to proof stochastic process without stationary property?

Published on
#limits #stochastic-processes
559
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Let $B = \{B_t : t \geq 0\}$ be a pre-Brownian motion. Show that $B^a$ is independent of $\sigma(B_r : r \leq a)$ for every $a \geq 0$.

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#probability #measure-theory #stochastic-processes #brownian-motion #stochastic-analysis
201
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Functional CLT proof Theorem 7.4.1 on page 354-355 of Ethier and Kurtz 1986

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#stochastic-processes #stochastic-calculus #martingales #markov-process #stochastic-integrals
80
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Find the steady state and time dependent probabilities of G/M/1/2 and M/G/1/2.

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#stochastic-processes #queueing-theory
49
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Is it true that $\mathbb{P}(|\xi_t|>C)>0$ for homogeneous process with independent increments?

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#probability-theory #stochastic-processes

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