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Show that for stopping times two conditional expectations are equal.

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#measure-theory #stochastic-processes #conditional-expectation #stopping-times
264
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Correlation function between two Ornstein-Uhlenbeck processes

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#stochastic-processes
70
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Generating recursive equation for urn question second part

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#stochastic-processes #recurrence-relations #recursion #recursive-algorithms
54
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Correlation between Wiener and Orstein Ulenbeck processes

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#stochastic-processes #correlation #wiener-measure
136
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Is discrete time stochastic processes enough to solve finance problems in practice?

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#stochastic-processes #stochastic-calculus #finance #stochastic-analysis
30
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Markov Property for FD Processes

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#probability-theory #stochastic-processes #markov-process #semigroup-of-operators
630
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Independence of two Brownian motions

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#stochastic-processes #stochastic-calculus #brownian-motion
118
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Inverting Conditional Expectation

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#probability #probability-theory #stochastic-processes #conditional-expectation #stochastic-integrals
515
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Expectation of the Waiting time in a Poisson process

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#stochastic-processes #expectation #conditional-expectation #poisson-process
44
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Reconstruct Riemannian Manifold with Measurements

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#differential-geometry #stochastic-processes #riemannian-geometry #stochastic-calculus #brownian-motion
2.8k
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Step in proof of Ito isometry

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#probability-theory #stochastic-processes #stochastic-integrals
259
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Ornstein-Uhlenbeck like process for non-normal data distributions

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#stochastic-processes
72
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Expected value of Kolmogorov's Distribution, i.e. $\mathbb{E}\ D$ where $D=\lim_{n\to\infty}\sqrt{n}\ \sup_t |\hat{F_n}(t) - F(t)|$

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#statistics #reference-request #stochastic-processes
161
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Option Pricing Form

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#stochastic-processes #stochastic-calculus #finance
310
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Theorem from Durrett's Probability: If $X_n$ is a supermartingale, then $X_n\wedge a$ is a supermartingale.

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#probability #probability-theory #stochastic-processes #martingales

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