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If the underlying DTMC irreducible and null recurrent, must the CTMC on the positive integers be regular?

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#stochastic-processes #markov-chains
71
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Does this sequence converge almost surely?

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#probability #probability-theory #stochastic-processes
39
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Compute $\lim_{k\to\infty}E[T_k]$ of this CTMC.

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#probability-theory #stochastic-processes
2.5k
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Explaining Ito's Lemma

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#real-analysis #stochastic-processes #stochastic-calculus #brownian-motion #martingales
198
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Intuitively, why does stopping a driftless process result in a driftless process (i.e., why is a stopped martingale still a martingale)?

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#probability-theory #stochastic-processes #martingales #stopping-times
653
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Proof for moment estimates of Ito Stochastic Differential Equation

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#probability-theory #stochastic-processes #stochastic-calculus #martingales #stochastic-analysis
66
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Number of arrivals of a compound Poisson process?

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#stochastic-processes #poisson-process
195
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Proof of Doobs System Theorem

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#stochastic-processes #finance #martingales
46
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coefficient of a stochastic differential equation

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#stochastic-processes #stochastic-calculus
232
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Does "one-sided" random walk converge to anything?

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#probability-theory #stochastic-processes
1.4k
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Distribution of the time of the first point of the process, conditional on the event that exactly one point occurs in the interval $[0,t]$

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#probability #stochastic-processes #markov-chains #poisson-distribution #poisson-process
1.4k
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Show that $P^n$ is double stochastic.

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#linear-algebra #stochastic-processes
524
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An optimal stopping problem on Durrett's book

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#probability #probability-theory #stochastic-processes #random-walk
43
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What is 'process' in probability

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#probability #partial-differential-equations #stochastic-processes
89
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Weak convergence on $C[0,\infty)$.

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#probability-theory #stochastic-processes #weak-convergence

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