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How do I compute $\mathbb{E}\left[e^{\lambda X_t} X_s^2 \right]$ for $X_t= \mu t + W_t$ where $(W_t)_t$ is a Brownian motion

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#probability-theory #stochastic-processes #expectation #brownian-motion
661
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Two stopping times : Intuition

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#stochastic-processes #martingales #stopping-times
127
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expectation of Brownian motions equation

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#stochastic-processes #brownian-motion #martingales
309
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Wiener process exercise

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#stochastic-processes
1k
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Are all stopped Brownian motions integrable?

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#probability-theory #stochastic-processes #brownian-motion #stopping-times
6.8k
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How to calculate the expected value of a Wiener process?

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#stochastic-processes #brownian-motion
932
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Assigning probabilities inversely proportional to distances

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#probability #stochastic-processes #markov-chains
1k
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A recurrence system and Markov chain.

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#probability-theory #stochastic-processes #recurrence-relations #markov-chains #recursion
85
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Comparison of duration of two gambler's ruin games

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#probability #discrete-mathematics #stochastic-processes #markov-chains #markov-process
420
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Wald martingale - applications?

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#stochastic-processes #martingales #moment-generating-functions
65
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Stochastic differential - notation

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#stochastic-processes #stochastic-calculus #stochastic-integrals
3.4k
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Understanding invariant and stationary distributions for Markov chains

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#probability-theory #stochastic-processes #markov-chains #ergodic-theory #transition-matrix
422
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Itensity of a compensator

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#stochastic-processes #stochastic-calculus #stochastic-analysis #stopping-times
1k
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Random Walk with Maximum and Minimum

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#stochastic-processes #random-walk
2.7k
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How to prove that the thinned Poisson process (by a specific definition) has intensity $p \lambda$?

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#probability-theory #stochastic-processes #poisson-process

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