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Proof verification - application of Girsanov to Brownian running max with nonzero drift

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#probability #probability-theory #proof-verification #stochastic-processes #brownian-motion
116
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Recursive use of mathematical expectation

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#probability-theory #stochastic-processes
395
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Why do we need absolute continuity of $\langle M \rangle_t(\omega)$ with repect to the Lebesgue measure?

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#stochastic-processes #stochastic-calculus #stochastic-integrals #stochastic-analysis #absolute-continuity
54
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$X$ is martingale

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#stochastic-processes #stochastic-calculus #martingales
157
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Markov Chain: Optimal stopping to determine the price at which stock is traded

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#probability #stochastic-processes #markov-chains #finance
79
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Why is this inequality true in proof of strong law of large numbers for renewal processes

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#probability-theory #stochastic-processes #proof-explanation #poisson-process
325
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Random walk on thin ice?

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#probability-theory #reference-request #stochastic-processes #random-walk #random-graphs
212
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Expected value of the product $E[W(u)W(u+v)W(u+v+w)]$ for Brownian motion

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#stochastic-processes #brownian-motion #expected-value
61
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Random Walk: Proving that $1 = \sum_{m=0}^{n}P_0(S_{n-m} = 0)P_0(\tau_0 > m)$

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#stochastic-processes #random-walk #stopping-times
62
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Third Moment of Hitting Time

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#stochastic-processes #markov-chains #conditional-expectation #conditional-probability
444
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Geometric Brownian Motion Price Processes in high Dimensions

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#stochastic-processes #stochastic-calculus #brownian-motion #finance #stochastic-analysis
30
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Find pdf of rectangular signal with random variable as width

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#probability #stochastic-processes #random-variables
183
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Variant on Gambler's ruin problem?

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#probability #stochastic-processes #law-of-large-numbers
53
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Factorization in the three variable function

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#calculus #multivariable-calculus #stochastic-processes #factoring #primary-decomposition
52
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Check for stationarity $X(t) = V * \cos(wt+U)$, V and U are indep. rand. variables

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#stochastic-processes #time-series

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