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Solving this SDE $dX_t = aX_tdt + bdW_t$, $X_0 = x$ to find $E[X_t^2]$

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-differential-equations
136
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Books dealing with Lebesgue-Stieltjes rigorously?

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#stochastic-processes #stochastic-calculus #book-recommendation #stochastic-integrals #stochastic-analysis
821
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Martingales: discrete time Vs continuous time

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#probability-theory #stochastic-processes #martingales
85
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Multiplying stochastic volatility models: Application of multi-dimensional Ito formula

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#stochastic-processes #stochastic-calculus
49
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A question about the answer of another question

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#stochastic-processes
127
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Show that $y_t=\sum_{j=1}^\infty(1+\theta)(-\theta)^{j-1}y_{t-j}+\epsilon_t$

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#sequences-and-series #statistics #stochastic-processes #time-series
354
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Distribution of hitting time of arbitrary brownian bridge

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#reference-request #stochastic-processes #brownian-motion
90
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Is this understanding of a filtration correct?

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#stochastic-processes #stochastic-calculus
102
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Bowling Markov chains

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#probability-theory #stochastic-processes #markov-chains
456
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Markov chain irreducibility and periodicity with an unknown

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#probability-theory #stochastic-processes #markov-chains
120
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Getting a progressively measurable map

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#measure-theory #stochastic-processes
135
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martingale question 3

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#probability #statistics #stochastic-processes #stochastic-calculus #martingales
270
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reverse engineering with correlation between two random Variables

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#probability #stochastic-processes #standard-deviation #correlation #covariance
321
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Is the solution to a Fokker-Planck equation always non-negative, under any conditions?

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#partial-differential-equations #stochastic-processes #stochastic-calculus
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Product of i.i.d r.v. is Martingale?

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#probability-theory #stochastic-processes #martingales

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