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Show that a bivariate Ito process has normal distribution

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#probability-theory #stochastic-processes #stochastic-calculus
86
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Biological/chemical mathematical modeling - two partners with multiple binding site interactions

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#stochastic-processes #mathematical-modeling #biology #chemistry
30
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show that E(Y ) = rE(X_1)

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#probability #statistics #stochastic-processes
396
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adapted, increasing, (locally) integrable variation process is a (local) submartingale

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#probability-theory #stochastic-processes #stochastic-calculus #conditional-probability #stochastic-analysis
1.2k
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How to easily see the time integral of a Brownian motion is normally distributed?

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#probability-theory #stochastic-processes #normal-distribution #brownian-motion
187
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Deterministic Integral of a Predictable Process is Predictable

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-pde
160
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How can I use the moment generating function to prove independence between $X_s$ and $X_t-X_s$

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#probability #stochastic-processes #stochastic-calculus
46
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Transition Matrix problem

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#stochastic-processes
63
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Standard Brownian motion almost surely not $0$.

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#probability-theory #stochastic-processes #stochastic-calculus #stochastic-analysis #stochastic-pde
52
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Markov matrices with no ones on off-diagonals don't have -1 as an eigen value

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#linear-algebra #matrices #stochastic-processes #eigenvalues-eigenvectors #markov-chains
704
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Local martingale up to a stopping time vs local martingale

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#probability-theory #stochastic-processes #stochastic-calculus
40
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Finding a strong solution to $X_t := (A_tX_t+a_t)dt+(S_tX_t+\sigma_t))dB_t$

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#stochastic-processes #brownian-motion #stochastic-analysis #stochastic-pde
198
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How is Grönwall's inequality applied here?

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#stochastic-processes #conditional-expectation #martingales #stochastic-differential-equations #lyapunov-functions
284
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Geometric Brownian Motion as the limit of Binomial Tree

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#stochastic-processes #stochastic-calculus #time-series
124
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How to interpret notation $X: [0,T] \times \Omega \rightarrow R^d $ for a stochastic process?

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#stochastic-processes #notation

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