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Ergodicity in hidden Markov models

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#probability #stochastic-processes #markov-chains #markov-process #ergodic-theory
64
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How to randomly generate two integer matrices $A$ and $B$, so that entries of 3 matrices $A$, $B$, and $AB$ are within certain range?

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#linear-algebra #probability #stochastic-processes
666
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Kolmogorov backwards equation / stationary distribution

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#probability #partial-differential-equations #stochastic-processes #stochastic-calculus
565
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Discrete-time stochastic process - waiting time

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#stochastic-processes #exponential-distribution
886
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Derivation of first passage time density for Ornstein-Uhlenbeck Process

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#stochastic-processes #density-function
173
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Probabilistic exponential growth model

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#probability #stochastic-processes
486
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The G/M/1 Queue

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#probability #stochastic-processes #markov-chains #queueing-theory #exponential-distribution
316
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union of natural filtration vs union of right continuous filtration

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#probability #probability-theory #stochastic-processes #stochastic-calculus #filtrations
121
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Identification of a signed measure

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#measure-theory #stochastic-processes
81
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Stopping time and Successive passage of barriers for a real Brownian motion

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#stochastic-processes #stopping-times
58
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Number of values in a discrete random walk exceeding some level

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#probability-theory #stochastic-processes
485
Views

Ito isometry for stopping time

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#probability #stochastic-processes #stochastic-integrals
210
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If $X$ is a Lévy process w.r.t. the natural filtration $\mathcal{F}$, is it so w.r.t. the right-continuous modified filtration $\mathcal{F}^+$?

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#probability-theory #stochastic-processes #independence #levy-processes #filtrations
661
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Stopping time and open/closed sets

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#stochastic-processes #stopping-times
305
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Interesting Open Questions In Wavelet Theory for UG Research?

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#functional-analysis #stochastic-processes #fourier-analysis #harmonic-analysis #wavelets

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