List questions from stochastic-processes

Published on 05 May 2026 - 15:44

124

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Absolute continuity of distributions

Published on 17 Apr 2026 - 7:03

145

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Generalizing a proof for the density of stopped subordinators

Published on 29 Apr 2026 - 12:24

54

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what does it mean by those equations of random process?

Published on 07 May 2026 - 12:48

51

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Searching a person in a large area -- Is this a well-known problem?

Published on 16 Apr 2026 - 11:24

161

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Proving that $E[X_i|S_n ] = \frac{S_n}{n}$ for iid $X_i$

Published on 14 Apr 2026 - 22:05

566

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How do I compute the distribution of the limit of this martingale.

Published on 10 May 2026 - 12:34

566

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Poisson process - 2D

Published on 29 Apr 2026 - 12:16

325

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Levy Process and characteristic function

Published on 02 May 2026 - 23:05

345

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Why aren't the sample paths of this stochastic process defined?

Published on 10 May 2026 - 12:27

2.3k

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Martingale and Stopping Time with Finite Expectation

Published on 10 May 2026 - 11:20

490

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Show that $L=\sup\{t>0; X_t \geq 2\}$ is not a stopping time

Published on 10 May 2026 - 11:20

1.2k

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Show that for a continuous Gaussian martingale process $M$ that $\langle M, M \rangle_t = f(t)$ is continuous, monotone, and nondecreasing

Published on 07 May 2026 - 16:21

328

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To prove that $X(t) = N(t+L) - N(t) , L > 0$ is Covariance stationary given $\{N(t) | t \geq 0\}$ is a Poisson Process.

Published on 29 Apr 2026 - 12:16

1.8k

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Expected first-returning time of Markov Chain

Published on 10 May 2026 - 15:50

List Question

Applying Ito's formula on a $C^1$ only differentiable function yielding a martingale

Absolute continuity of distributions

Generalizing a proof for the density of stopped subordinators

what does it mean by those equations of random process?

Searching a person in a large area -- Is this a well-known problem?

Proving that $E[X_i|S_n ] = \frac{S_n}{n}$ for iid $X_i$

How do I compute the distribution of the limit of this martingale.

Poisson process - 2D

Levy Process and characteristic function

Why aren't the sample paths of this stochastic process defined?

Martingale and Stopping Time with Finite Expectation

Show that $L=\sup\{t>0; X_t \geq 2\}$ is not a stopping time

Show that for a continuous Gaussian martingale process $M$ that $\langle M, M \rangle_t = f(t)$ is continuous, monotone, and nondecreasing

To prove that $X(t) = N(t+L) - N(t) , L > 0$ is Covariance stationary given $\{N(t) | t \geq 0\}$ is a Poisson Process.

Expected first-returning time of Markov Chain

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