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Smooth stochastic differential equations

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#reference-request #stochastic-processes #stochastic-calculus
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How to win in this game

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#probability #stochastic-processes #game-theory #dice
44
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Distribution $\rho(t_{wait})$ given distribution $\rho(t_{gap})$ of time gaps between events

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#probability #stochastic-processes
429
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About the definition of hitting time of a Markov chain

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#stochastic-processes #markov-chains
69
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Given two distributions of time intervals between events, which occurs first?

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#probability #stochastic-processes #random-variables
216
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$x_t = A\sin(t) + B\cos(t)$ is deterministic

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#probability #probability-theory #stochastic-processes #time-series
247
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How to prove that the counting process of ON periods from a set of $N$ ON-OFF processes is Poissonian?

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#probability #stochastic-processes #poisson-process
152
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Is the $\sigma$-algebra generated by several random variables equal to the preimage of the $\sigma$-algebra on the product space?

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#probability #measure-theory #elementary-set-theory #stochastic-processes
153
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Conditional Distribution of a Brownian Motion with terminal point in an interval.

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#stochastic-processes #brownian-motion #conditional-expectation
875
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Mean and Variance of "white noise" integral

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#integration #stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals
50
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How do I start this martingales problem?

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#probability #analysis #probability-theory #stochastic-processes #martingales
1k
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M/M/1/K Queue vs M/D/1/K Queue

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#stochastic-processes #intuition #queueing-theory
425
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On the 'Strong Markov Property' in 'Discrete Time Markov Chains'.

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#probability-theory #stochastic-processes #markov-process #stopping-times
121
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Norm convergence to $0$ of Markov semigroup

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#functional-analysis #stochastic-processes
509
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Distribution of the Brownian motion at a stopping time

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#stochastic-processes #brownian-motion #martingales #stopping-times

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