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Martingale property of indefinite Ito integral

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#stochastic-processes #stochastic-calculus #brownian-motion
112
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Compact support in Dynkin's formula

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#stochastic-processes #stochastic-analysis #stochastic-differential-equations
182
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Using Galmarino's test

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#probability-theory #stochastic-processes #brownian-motion #stopping-times
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Calculating the mean return time for this Markov Chain

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#stochastic-processes #markov-chains #conditional-expectation
28
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Autocorrelation when underlying signal cubed?

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#probability-theory #stochastic-processes #nonlinear-system #correlation
70
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Generalized polynomial chaos with periodic basis function?

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#polynomials #numerical-methods #stochastic-processes #periodic-functions #stochastic-approximation
31
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What does $\mathbb{E}_{t-2}$ mean when calculating mean/expected value?

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#probability #stochastic-processes #expectation #conditional-expectation
60
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The probability that all the inter-arrival times are smaller than $\tau$ for a given fixed duration

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#probability #stochastic-processes
35
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Asymptotic behaviour of the process $U_n=U_{n-1}+s(U_{n-1})X_n$, where $X_n$ is iid

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#stochastic-processes #quantile
417
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Is the space of continuous local martingales equipped with the topology of uniform convergence on compact sets complete?

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#probability-theory #stochastic-processes #local-martingales
50
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Calculate the number of ways for random walk

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#probability #combinatorics #stochastic-processes #random-walk
201
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Construct non-trivial local martingale which is constant with positive probability

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#probability-theory #stochastic-processes #stochastic-calculus #martingales
1.1k
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linear stochastic differential equation: expectation and covariance

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#probability #stochastic-processes #expectation #stochastic-calculus #stochastic-integrals
111
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Apparent misunderstanding of the solution to an SDE

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#stochastic-processes #stochastic-calculus #stochastic-analysis
85
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Probability of a path between two vertices, in a modified version of a random graph

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#probability #graph-theory #stochastic-processes #random-graphs

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