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Standard Brownian motion and stopping time

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#stochastic-processes #stochastic-calculus #brownian-motion #stopping-times
214
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Show that two processes have the same distribution knowing that their paths up to time $τ$ and their distributions conditioned on $\mathcal F_τ$ agree

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#probability-theory #stochastic-processes #markov-chains #markov-process #conditional-probability
2.2k
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What is the canonical process of a measure space $(\Omega, \mathscr{F}, \mathbb{Q})$?

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#measure-theory #stochastic-processes
117
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If $X$ is an Ito process, is $\mathbb E(\int X \mathrm d X)$ convex?

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#functional-analysis #stochastic-processes #stochastic-calculus #stochastic-analysis
245
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Question for covariance stationary process

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#stochastic-processes #covariance #stationary-processes
97
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Is a stochastic process, which is defined via the conditional expectation of a strictly postive random variable, strictly positive almost surely?

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#probability-theory #stochastic-processes
268
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Non-Wide-Sense-Stationary process with autocorrelation that depends on time shift

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#probability-theory #stochastic-processes #signal-processing
280
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How to prove a zero mean martingale converges almost surely?

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#real-analysis #probability-theory #stochastic-processes
202
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Lévy process + scaling property $\implies$ Brownian motion

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#probability-theory #stochastic-processes #brownian-motion #levy-processes
111
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Calculation of variance of complicated random variable ( white noise discretization )

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#probability #stochastic-processes #covariance #expected-value #stochastic-differential-equations
26
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Approximation in probability

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#stochastic-processes #approximation-theory
42
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Finding a recursive formula for these probabilities in a semi-Markov chain

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#stochastic-processes #markov-chains #hidden-markov-models
228
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For what values of u is this a valid autocorrelation function

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#probability-distributions #stochastic-processes
30
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question on semimartingales and jump processes

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#statistics #stochastic-processes #stochastic-calculus
104
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Equivalence of discrete definition of Markov property in the coutinuous case

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#probability-theory #stochastic-processes #conditional-expectation #markov-process

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