List questions from stopping-times

Published on 23 Jan 2019 - 18:47

752

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How to prove that the exit time of a Brownian motion is a stopping time?

Published on 25 Jan 2019 - 17:08

152

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Two valued stopping time gives a martingale

Published on 28 Jan 2019 - 17:41

518

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Ornstein Uhlenbeck process hits zero with probability 1 in finite time

Published on 05 Feb 2019 - 16:37

490

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Expressing $\mathbb{P} \left( \sup_{s \leq t} B_s>a \right)$ in terms of stopping times

Published on 06 Feb 2019 - 6:24

60

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Random Walk: Proving that $1 = \sum_{m=0}^{n}P_0(S_{n-m} = 0)P_0(\tau_0 > m)$

Published on 10 Feb 2019 - 21:11

76

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Does hitting time have scaling property or self-similar proerty

Published on 21 Feb 2019 - 3:06

1.3k

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What's the precise statement of the continuous-time optional stopping theorem?

Published on 22 Feb 2019 - 7:59

474

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Example of last hitting time failing to be a stopping time?

Published on 28 Feb 2019 - 12:29

826

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Stopped random walk is not uniformly integrable

Published on 05 Mar 2019 - 23:45

432

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Computing $E(T_b^2)$ for asymmetric random walk

Published on 06 Mar 2019 - 16:58

121

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Expected value of a Brownian motion before its first hitting time

Published on 10 Mar 2019 - 12:51

192

Views

Doob's Optional Stopping Theorem: $\xi_\tau$ vs $\xi_{\tau\land n}$

Published on 10 Mar 2019 - 19:30

139

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First passage time for Compound Poisson distribution

Published on 14 Mar 2019 - 21:56

27

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Image of a symmetric law

Published on 18 Mar 2019 - 10:17

List Question

stopping time and quadratic variation process

How to prove that the exit time of a Brownian motion is a stopping time?

Two valued stopping time gives a martingale

Ornstein Uhlenbeck process hits zero with probability 1 in finite time

Expressing $\mathbb{P} \left( \sup_{s \leq t} B_s>a \right)$ in terms of stopping times

Random Walk: Proving that $1 = \sum_{m=0}^{n}P_0(S_{n-m} = 0)P_0(\tau_0 > m)$

Does hitting time have scaling property or self-similar proerty

What's the precise statement of the continuous-time optional stopping theorem?

Example of last hitting time failing to be a stopping time?

Stopped random walk is not uniformly integrable

Computing $E(T_b^2)$ for asymmetric random walk

Expected value of a Brownian motion before its first hitting time

Doob's Optional Stopping Theorem: $\xi_\tau$ vs $\xi_{\tau\land n}$

First passage time for Compound Poisson distribution

Image of a symmetric law

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