List questions from stochastic-processes

Published on 11 Feb 2018 - 19:25

106

Views

Show that $Z(M_{s \wedge t} - M_{r \wedge t})$ is a martingale when $M$ is a martingale and $Z \in \mathscr{F}_r$

Published on 25 Mar 2026 - 23:27

339

Views

Why the operator is termed as Ornstein–Uhlenbeck operator?

Published on 25 Mar 2026 - 6:05

812

Views

Limit of the expectation in Galton-Watson-process using a Martingale

Published on 23 Mar 2026 - 11:02

128

Views

Use of Chernoff Bound

Published on 12 Feb 2018 - 12:56

77

Views

Markov semigroup that does not define a Markov process

Published on 12 Feb 2018 - 14:01

186

Views

Probability of getting two events from a Poisson process, given a total of two events

Published on 19 Mar 2026 - 17:12

239

Views

Limiting Probabilities

Published on 13 Feb 2018 - 23:29

560

Views

Understanding proof that if $\rho_{xy} >0$ but $\rho_{yx}<1$, then x is transient.

Published on 25 Mar 2026 - 6:07

5k

Views

Multivariate Brownian motion definition and properties

Published on 24 Mar 2026 - 20:31

152

Views

Convolution interchangeable with multiplication on white noise?

Published on 14 Feb 2018 - 15:07

119

Views

Confusion about notation of stochastic processes

Published on 25 Mar 2026 - 7:40

153

Views

Is the solution to this (simple) Stochastic Differential Equation unique?

Published on 17 Mar 2026 - 22:04

208

Views

Concentration inequalities for supremum of moving average

Published on 23 Mar 2026 - 5:07

140

Views

Probability that an infinite sequence of i.i.d. integers has a repetition

Published on 20 Mar 2026 - 6:56

List Question

Why are differences between return time iid?

Show that $Z(M_{s \wedge t} - M_{r \wedge t})$ is a martingale when $M$ is a martingale and $Z \in \mathscr{F}_r$

Why the operator is termed as Ornstein–Uhlenbeck operator?

Limit of the expectation in Galton-Watson-process using a Martingale

Use of Chernoff Bound

Markov semigroup that does not define a Markov process

Probability of getting two events from a Poisson process, given a total of two events

Limiting Probabilities

Understanding proof that if $\rho_{xy} >0$ but $\rho_{yx}<1$, then x is transient.

Multivariate Brownian motion definition and properties

Convolution interchangeable with multiplication on white noise?

Confusion about notation of stochastic processes

Is the solution to this (simple) Stochastic Differential Equation unique?

Concentration inequalities for supremum of moving average

Probability that an infinite sequence of i.i.d. integers has a repetition

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